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dc.coverage.spatialMedellín de: Lat: 06 15 00 N degrees minutes Lat: 6.2500 decimal degrees Long: 075 36 00 W degrees minutes Long: -75.6000 decimal degreeseng
dc.date.available2013-03-21T20:32:20Z
dc.date.issued2011-12-15
dc.identifier.urihttp://hdl.handle.net/10784/668
dc.descriptionForeign 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.eng
dc.language.isoengeng
dc.publisherUniversidad EAFITspa
dc.titleDo foreign portfolio flows increase risk in emerging stock markets? Evidence from six Latin American countries 1999 -2008eng
dc.typeinfo:eu-repo/semantics/workingPaper
dc.typeworkingPapereng
dc.rights.accessrightsinfo:eu-repo/semantics/openAccesseng
dc.publisher.departmentEscuela de Economía y Finanzasspa
dc.type.localDocumento de trabajo de investigaciónspa
dc.subject.keywordForeign portfolio flowseng
dc.subject.keywordEmerging Marketseng
dc.subject.keywordMarket riskeng
dc.subject.keywordARCH-GARCHeng
dc.subject.keywordVAReng
dc.rights.localAcceso abiertospa
dc.date.accessioned2013-03-21T20:32:20Z
dc.type.hasVersiondrafteng
dc.identifier.jelF32, G01, G15
dc.contributor.authorAgudelo, Diego Alonsospa
dc.contributor.authorCastaño, Milenaspa


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