Are foreigners the vectors of Contagion? A study of six emerging markets

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dc.contributor.authorAgudelo, Diego A.
dc.contributor.authorMúnera, Daimer J.
dc.contributor.eafitauthordagudelo@eafit.edu.co
dc.contributor.eafitauthordmunera3@eafit.edu.co
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.accessioned2018-11-10T19:01:42Z
dc.date.available2018-11-10T19:01:42Z
dc.date.issued2018-11
dc.description.abstractWe investigate for the role of Foreigners, Local Institutions and Local individuals in days of Contagion in a set of six emerging markets from 2007 to 2016. We propose a new and intuitive continuous measure of Contagion based on the probability of a coincidence of daily negative returns in both the S&P500 and the local index, in excess of what can be explained by fundamentals. Using a VAR setting, we find that Foreigners sells induce Contagion, and that they keep selling in the following days. We also find evidence of Foreigners acting as the transmitters of large drops in the US stock market to emerging ones. Institutions also contribute to Contagion days with net sales, but they become net buyers from the day after. Finally, individuals are net buyers in Contagion days.eng
dc.identifier.jelG14
dc.identifier.jelG15
dc.identifier.jelD82
dc.identifier.urihttp://hdl.handle.net/10784/13128
dc.language.isoengeng
dc.publisherUniversidad EAFITspa
dc.publisher.departmentEscuela de Economía y Finanzasspa
dc.rights.accessrightsinfo:eu-repo/semantics/openAccesseng
dc.rights.localAcceso abiertospa
dc.subject.keywordContagionspa
dc.subject.keywordForeign flowsspa
dc.subject.keywordInstitutional investorsspa
dc.subject.keywordIndividual investorsspa
dc.subject.keywordEmerging Marketsspa
dc.titleAre foreigners the vectors of Contagion? A study of six emerging marketseng
dc.typeworkingPapereng
dc.typeinfo:eu-repo/semantics/workingPapereng
dc.type.hasVersiondrafteng
dc.type.localDocumento de trabajo de investigaciónspa

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