Examinando por Materia "VAR model"
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Publicación ¿Aumentan los flujos extranjeros la volatilidad en los mercados accionarios emergentes? : evidencia en seis paises latinoamericanos(Universidad EAFIT, 2009) Castaño E., Milena María; Agudelo Rueda, Diego AlonsoÍtem Friend or foe? Foreign investors and the liquidity of six asian emerging markets(John Wiley & Sons, Inc., 2010) Agudelo, Diego A.; Departamento de Finanzas, Universidad EAFIT; Economía y Finanzas; Finanzas; Grupo de Investigación Finanzas y BancaStudying foreign flows and the liquidity of six Asian markets and the Johannesburg Stock Exchange, we provide evidence of two contrary effects of foreigners on liquidity. On the one hand, foreign trade has a negative but transitory impact on the overall liquidity of the market on a daily basis, consistent with foreign investors demanding liquidity more aggressively than locals and incorporating market-wide information. On the other hand, the overall share of foreign ownership in the market is positively related to improved liquidity, consistent with foreigners improving liquidity provision and sending a positive signal to the market on transparency and monitoring. Overall, the results portray foreign investors as aggressively demanding liquidity in the very short term, but having a lasting positive effect on the liquidity of emerging markets.Publicación Relación entre la cobertura con derivados de divisas, volatilidad cambiaria y políticas de intervención del Banco Central : un análisis empírico(Universidad EAFIT, 2025) Aza Goyes, Manuel Alejandro; Rojas Ormaza, Brayan Ricardo