The Latin American and Spanish Stock markets
AbstractIn this article I analyze the Spanish stock market in an international setting. Using a simple Markov regime switching model I get a time varying measure of the effect of the return on a Latin American portfolio on the Spanish stock returns. The evidence can be summarized as follows. First, I find that this effect is positive and no so large. However, it has increased since the mid-nineties. Second, evidence for the returns on size portfolios shows that most of the effect accrues indirectly through common risk factors. The portfolio composes of stocks with small capitalization is the most affected. Nevertheless, the relative effect of the Latin America to the effect of the world only increases for the portfolio composes of stocks with big capitalization since the mid-nineties. Third, evidence for the returns on sector portfolios shows that the most active sectors investing in Latin America are the most affected. Fourth, I conclude that there is no a positive relatio nship between â-risk and flows of foreign direct investment.
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Bibliographic InfoPaper provided by Department of Economic Theory and Economic History of the University of Granada. in its series ThE Papers with number 06/12.
Length: 32 pages
Date of creation: 14 Dec 2006
Date of revision:
Markov switching model; maximum likelihood estimation; stock returns.;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-12-16 (All new papers)
- NEP-CFN-2006-12-16 (Corporate Finance)
- NEP-HIS-2006-12-16 (Business, Economic & Financial History)
- NEP-RMG-2006-12-16 (Risk Management)
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