• español
    • English
  • Self-archive
  • Browse
    • Communities & Collections
    • By Issue Date
    • Authors
    • Titles
    • Subjects
    • Document types
  • English 
    • español
    • English
  • Help
  • Login
 
View Item 
  •   Repositorio Institucional Universidad EAFIT
  • Investigación
  • Escuela de Economía y Finanzas
  • Centro de Investigaciones Económicas y Financieras (CIEF)
  • Documentos de trabajo (working papers)
  • View Item
  •   Repositorio Institucional Universidad EAFIT
  • Investigación
  • Escuela de Economía y Finanzas
  • Centro de Investigaciones Económicas y Financieras (CIEF)
  • Documentos de trabajo (working papers)
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

Do foreign portfolio flows increase risk in emerging stock markets? Evidence from six Latin American countries 1999 -2008

Thumbnail
View/Open
2011_19_Diego_Agudelo.pdf (3.091Mb)
Date
2011-12-15
Author
Agudelo, Diego Alonso
Castaño, Milena
Metrics
Metadata
Show full item record
Abstract
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 risk in the six largest Latin American stock markets: Argentina, Brazil, Colombia, Chile, Mexico and Peru, for around 10 years including the 2008’s World financial crisis. This will test whether these flows cause instability for those markets and increase their exposure to international stock market returns. A proprietary database, from Emerging Portoflio.com and time series models, both univariate (ARCH - GARCH) and multivariate (VAR), are used to estimate the effect foreign portfolio flows on the risk variables and the causality of these effects. We found no strong evidence to support the hypothesis that foreign flows cause instability in the Latin American stock markets, in spite of some evidence of causing price pressure. Instead, the evidence points to a strong dependence of market returns on international stock and foreign exchange markets, both in means and in volatility, instrumental to transmit crisis to those markets.
Documents PDF

loading
URI
http://hdl.handle.net/10784/668
Collections
  • Documentos de trabajo (working papers) [369]

My Account

LoginRegister

Statistics

View Usage Statistics

universidad eafit medellin repositorio institucional

Vigilada Mineducación
Universidad con Acreditación Institucional hasta 2026
Resolución MEN 2158 de 2018

Líneas de Atención

Medellín: (57) (4) - 448 95 00
Resto del país: 01 8000 515 900
Conmutador: (57) (4) - 2619500
Carrera 49 N 7 Sur - 50
Medellín, Colombia, Suramérica

Derechos Reservados

DSpace software
copyright © 2002-2016 
Duraspace

Theme by 
@mire NV