Now showing items 1-3 of 3
Do foreign portfolio flows increase risk in emerging stock markets? Evidence from six Latin American countries
(Universidad nacional de Colombia, 2011)
Foreign portfolio flows have been blamed for causing instability in emerging markets, especially during financial crises. This study measured the effect of foreign capital flows on volatility and exposure to world market ...
Do news improve liquidity through improved information or visibility? Evidence from Emerging Markets.
(Universidad EAFIT, 2015-03-01)
Market microstructure models imply that informed trading reduces liquidity. We test for the effect of the frequency of new releases, as a proxy of information arrival, on liquidity in the Chilean stock market. We find ...
Volatility transmission between US and Latin American Stock Markets: testing the decoupling hypothesis.
(Universidad EAFIT, 2015-10-01)
We test for volatility transmission between US and the six largest Latin American stock markets (Argentina, Brazil, Chile, Colombia, Mexico and Peru) using MGARCH-BEKK models in daily frequency from March 1993 to March ...