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El Efecto De La Crisis Financiera Subprime En Los Mercados Accionarios Desarrollados. Estimaciones Aparentemente No Relacionadas Sur Versus Garch (1,1)

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  • Eduardo Sandoval
  • Paula Urrutia

Abstract

Through this article we investigate the subprime financial crisis effect, with origin in the USA, on twenty three developed stock markets according to MSCI Barra classification. The effect was measured through Jensen’s alpha, which represents a measure of value creation or destruction. To do this, the sample period was divided into pre crisis, crisis and post subprime crisis. The results show that independent of the applied estimation methods, SUR and Garch (1,1), the stock markets of Belgium and Ireland were the most negatively affected by this event. International organisms and governance systems must continue improving the financial corporate governance associated with the credit system in order to minimize moral hazard problems that are transmitted to the stock markets.

Suggested Citation

  • Eduardo Sandoval & Paula Urrutia, 2011. "El Efecto De La Crisis Financiera Subprime En Los Mercados Accionarios Desarrollados. Estimaciones Aparentemente No Relacionadas Sur Versus Garch (1,1)," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, vol. 4(1), pages 1-17.
    • Handle: RePEc:ibf:riafin:v:4:y:2011:i:1:p:1-17
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    References listed on IDEAS

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    3. Robert Kosowski & Allan Timmermann & Russ Wermers & Hal White, 2006. "Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis," Journal of Finance, American Finance Association, vol. 61(6), pages 2551-2595, December.
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    1. Eduardo Sandoval & Claudia Reyes, 2012. "Investment Styles Performance In European Stock Markets Before, During, And After Subprime Financial Crisis, Desempeno De Estilos De Inversion En Los Mercados Accionarios Europeos En Los Periodos Prev," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, vol. 5(3), pages 1-18.

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    More about this item

    Keywords

    Subprime financial crisis; Jensen´s alpha; moral hazard;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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