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Zhenzhen Zhu, Zhidong Bai, João Paulo Vieito, Wing-Keung Wong
Pág. 5 - 30
We analyze the impact of the most recent global financial crisis (GFC) on the seven most important Latin American stock markets. Our mean-variance analysis shows that the markets are significantly less volatile and, in general, investors prefer to invest...
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Francisco Javier Vasquez-Tejos,Prosper Lamothe Fernandez
This study analyzes the impact of liquidity risk on stock returns in four Latin American markets (Chile, Columbia, Mexico, and Peru) between January 1998 and July 2018. Several previous studies have focused on measuring this effect in developed markets a...
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Raúl de Jesús-Gutiérrez,Roberto J. Santillán-Salgado
Pág. 127 - 141
The purpose of this work is to extend McNeil and Frey´s (2000) methodology by combining two component GARCH models and extreme value theory to evaluate the performance of the Value at Risk (VaR) and Expected Shortfall (ES) measures in the Latin American ...
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Werner Kristjanpoller, Roberto E. Muñoz
Pág. pp. 5 - 26
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Jae-Kwang Hwang, Young Dimkpah, Alex I. Ogwu
This paper examines the transmission of the 2008 US financial crisis to four Latin American stock markets using daily stock returns from 2006 to 2009, analyzing returns before and during the 2008 financial crisis. The empirical evidence presents a financ...
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This study applies Lo and MacKinlay?s methodology on the weekly movements of equity indices in Argentina, Brazil, Chile, Colombia, Mexico and Peru over the early years of the twenty first century in the WTO and NAFTA era. To test for th...
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