The Latin American and Spanish Stock markets
In 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.
|Date of creation:||14 Dec 2006|
|Date of revision:|
|Contact details of provider:|| Postal: Campus Universitario de Cartuja|
Web page: http://www.ugr.es/local/teoriahe
More information through EDIRC
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.:
- Bekaert, Geert & Harvey, Campbell R, 1995.
" Time-Varying World Market Integration,"
Journal of Finance,
American Finance Association, vol. 50(2), pages 403-44, June.
- René Garcia & Eric Ghysels, 1996.
"Structural Change and Asset Pricing in Emerging Markets,"
CIRANO Working Papers
- Garcia, Rene & Ghysels, Eric, 1998. "Structural change and asset pricing in emerging markets," Journal of International Money and Finance, Elsevier, vol. 17(3), pages 455-473, June.
- Hamilton, James D. & Susmel, Raul, 1994.
"Autoregressive conditional heteroskedasticity and changes in regime,"
Journal of Econometrics,
Elsevier, vol. 64(1-2), pages 307-333.
- Tom Doan, . "RATS programs to estimate Hamilton-Susmel Markov Switching ARCH model," Statistical Software Components RTZ00083, Boston College Department of Economics.
- Barari, Mahua, 2004. "Equity market integration in Latin America: A time-varying integration score analysis," International Review of Financial Analysis, Elsevier, vol. 13(5), pages 649-668.
- Kearney, Colm & Lucey, Brian M., 2004. "International equity market integration: Theory, evidence and implications," International Review of Financial Analysis, Elsevier, vol. 13(5), pages 571-583.
- Fama, Eugene F & French, Kenneth R, 1996. " Multifactor Explanations of Asset Pricing Anomalies," Journal of Finance, American Finance Association, vol. 51(1), pages 55-84, March.
- Martinez, Miguel A. & Nieto, Belen & Rubio, Gonzalo & Tapia, Mikel, 2005. "Asset pricing and systematic liquidity risk: An empirical investigation of the Spanish stock market," International Review of Economics & Finance, Elsevier, vol. 14(1), pages 81-103.
- Graciela Laura Kaminsky, 1999.
"Currency and Banking Crises; The Early Warnings of Distress,"
IMF Working Papers
99/178, International Monetary Fund.
- Graciela L. Kaminsky, 1998. "Currency and banking crises: the early warnings of distress," International Finance Discussion Papers 629, Board of Governors of the Federal Reserve System (U.S.).
- Rydén, Tobias & Teräsvirta, Timo & Åsbrink, Stefan, 1996.
"Stylized Facts of Daily Return Series and the Hidden Markov Model,"
SSE/EFI Working Paper Series in Economics and Finance
117, Stockholm School of Economics.
- Tobias Rydén & Timo Teräsvirta & Stefan Åsbrink, 1998. "Stylized facts of daily return series and the hidden Markov model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(3), pages 217-244.
- Bekaert, Geert & Harvey, Campbell R. & Lumsdaine, Robin L., 2002.
"Dating the integration of world equity markets,"
Journal of Financial Economics,
Elsevier, vol. 65(2), pages 203-247, August.
- Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
- Levy Yeyati, Eduardo & Sturzenegger, Federico, 2000. "Implications of the euro for Latin America's financial and banking systems," Emerging Markets Review, Elsevier, vol. 1(1), pages 53-81, May.
When requesting a correction, please mention this item's handle: RePEc:gra:wpaper:06/12. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Angel Solano Garcia.)
If references are entirely missing, you can add them using this form.