Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/285064 
Title (translated): 
El impacto de la crisis financiera en la eficiencia y desempeño de mercados latinoamericanos de acciones
Year of Publication: 
2019
Citation: 
[Journal:] Estudios de Economía [ISSN:] 0718-5286 [Volume:] 46 [Issue:] 1 [Year:] 2019 [Pages:] 5-30
Publisher: 
Universidad de Chile, Departamento de Economía, Santiago de Chile
Abstract: 
We analyze the impact of the most recent global financial crisis (GFC) on the seven most important Latin American stock markets. Our mean-variance analysis shows that the markets are significantly less volatile and, in general, investors prefer to invest in the post-GFC period. Our results from the Hurst exponent and runs and variance-ratio tests show that the randomness and efficiency have been improved after the GFC. The stochastic dominance test shows that the markets are efficient, there is no arbitrage opportunity due to the GFC in our studying period, and, in general, investors prefer investing in the post-GFC period. The results confirm that the 2008 global financial crisis does have some positive impacts on Latin American stock markets. Our findings provide important information for investors and market regulators in their decision making in investment and setting regulations.
Subjects: 
Latin American stock markets
randomness
market efficiency
stochastic dominance
JEL: 
G14
G15
Creative Commons License: 
cc-by-nc-sa Logo
Document Type: 
Article

Files in This Item:
File
Size
909.56 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.