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An Empirical Investigation of the Colombian Stock Market Reaction to the US Market: Evidence from a Casewise Bootstrap Approach - Un’analisi empirica della reazione del mercato azionario colombiano al mercato USA

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This paper empirically investigates the effect of returns in the US on the returns in Colombia during the period between the Black Friday and the Mortgage Crisis. Monthly data is used. A new method that is robust to non-normality and time-varying volatility is applied. Our empirical findings indicate that the Colombian financial market is significantly affected by the financial market of the US. However, the regression correlation is still less than one implying that international diversification benefits might exist. In addition, it is found that the terrorist attack of September 11 did not result in a significant change in the relationship between the two underlying markets. - In questo lavoro viene effettuata un’analisi empirica circa l’effetto dei rendimenti del mercato azionario USA sui rendimenti in Colombia nel periodo compreso tra il venerdì nero e la crisi dei mutui ipotecari. Si utilizzano dati mensili e si applica un nuovo metodo robusto alla non-normalità e alla volatilità time-varying. I risultati indicano che il mercato colombiano è significativamente influenzato dal mercato USA. Inoltre vi sono evidenze che l’attacco terroristico dell’11 settembre non ha determinato un significativo cambiamento nella relazione tra i due mercati.

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  • Hatemi-J, Abdulnasser & Sarmiento-Sabogal, Julio, 2013. "An Empirical Investigation of the Colombian Stock Market Reaction to the US Market: Evidence from a Casewise Bootstrap Approach - Un’analisi empirica della reazione del mercato azionario colombiano al," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 66(1), pages 57-67.
    • Handle: RePEc:ris:ecoint:0676
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    More about this item

    Keywords

    Financial Integration; Casewise bootstrap; Colombia; the US;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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