This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Investor Panic, IMF Actions, and Emerging Stock Market Returns and Volatility

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Bernd Hayo (University of Essen, ZEI, and Georgetown University)
Ali Kutan (Southern Illinois University and ZEI)

Additional information is available for the following registered author(s):

Abstract

In this paper, we examine the reaction of stock market returns and volatility in a diverse group of six emerging markets to a set of IMF events. In particular, we test within a panel framework whether there was an "investor panic" causing a significant drop in stock market returns on the days of negative IMF events. We find that on average negative (positive) IMF news reduce (increase) daily stock returns by about one percentage point. The most influential single event is the delay of loans from the IMF, which reduces stock returns by about one and a half percentage points. IMF news do not have a significant impact on the volatility of stock markets. Thus, it appears that IMF actions and events primarily have an effect on pay-offs but not on risk, and do not appear to support the hypothesis of IMF induced "investor panics".

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://129.3.20.41/eps/if/papers/0112/0112001.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by EconWPA in its series International Finance with number 0112001.

Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Length: 23 pages
Date of creation: 03 Dec 2001
Date of revision:
Handle: RePEc:wpa:wuwpif:0112001

Note: Type of Document - ; prepared on IBM PC; pages: 23 ; figures: included
Contact details of provider:
Web page: http://129.3.20.41

For technical questions regarding this item, or to correct its listing, contact: (EconWPA).

Related research
Keywords: IMF news stock market returns emerging markets

Find related papers by JEL classification:
F3 - International Economics - - International Finance
F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance

This paper has been announced in the following NEP Reports:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Bong-Chan Kho & Dong Lee & Rene M. Stulz, 2000. "U.S. Banks, Crises, and Bailouts: From Mexico to LTCM," American Economic Review, American Economic Association, vol. 90(2), pages 28-31, May. [Downloadable!] (restricted)
    Other versions:
  2. Kaminsky, Graciela L. & Schmukler, Sergio L., 1999. "What triggers market jitters?: A chronicle of the Asian crisis," Journal of International Money and Finance, Elsevier, vol. 18(4), pages 537-560, August. [Downloadable!] (restricted)
    Other versions:
  3. Bong-Chan Kho & Rene M. Stulz, 1999. "Banks, the IMF, and the Asian Crisis," NBER Working Papers 7361, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  4. Tim Bollerslev & Jeffrey Wooldridge, 1992. "Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances," Econometric Reviews, Taylor and Francis Journals, vol. 11(2), pages 143-172. [Downloadable!] (restricted)
  5. Tim Bollerslev & Jeffrey M. Wooldridge, 1988. "Quasi-Maximum Likelihood Estimation of Dynamic Models with Time-Varying Covariances," Working papers 505, Massachusetts Institute of Technology (MIT), Department of Economics.
  6. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April. [Downloadable!] (restricted)
  7. Engle, Robert F & Hendry, David F & Richard, Jean-Francois, 1983. "Exogeneity," Econometrica, Econometric Society, vol. 51(2), pages 277-304, March. [Downloadable!] (restricted)
    Other versions:
  8. Fleming, Jeff & Kirby, Chris & Ostdiek, Barbara, 1998. "Information and volatility linkages in the stock, bond, and money markets1," Journal of Financial Economics, Elsevier, vol. 49(1), pages 111-137, July. [Downloadable!] (restricted)
  9. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July. [Downloadable!] (restricted)
Full references

Statistics
Access and download statistics

Did you know? IDEAS also indexes books.

This page was last updated on 2008-10-9.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.