标题:The impact of the global financial crisis on the efficiency and performance of Latin American stock markets
作者:Zhu, Zhenzhen; Bai, Zhidong; Vieito, Joao Paulo; Wong, Wing-Keung
作者机构:[Zhu, Zhenzhen] Shandong Univ Finance & Econ, Sch Stat, Jinan, Shandong, Peoples R China.; [Bai, Zhidong] Northeast Normal Univ, KLASMOE, Changchun, 更多
通讯作者:Wong, WK;Wong, WK;Wong, WK;Wong, WK;Wong, WK
通讯作者地址:[Wong, WK]Asia Univ, Fintech Ctr, Dept Finance, Taichung, Taiwan;[Wong, WK]Asia Univ, Big Data Res Ctr, Taichung, Taiwan;[Wong, WK]China Med Univ Hosp 更多
来源:ESTUDIOS DE ECONOMIA
出版年:2019
卷:46
期:1
页码:5-30
关键词:Latin American stock markets; randomness; market efficiency; stochastic; dominance
摘要:We analyze the impact of the most recent global financial crisis (GFC) on the seven most important Latin American stock markets. Our mean-variance analysis shows that the markets are significantly less volatile and, in general, investors prefer to invest in the post-GFC period. Our results from the Hurst exponent and runs and variance-ratio tests show that the randomness and efficiency have been improved after the GFC. The stochastic dominance test shows that the markets are efficient, there is no arbitrage opportunity due to the GFC in our studying period, and, in general, investors prefer investing in the post-GFC period. The results confirm that the 2008 global financial crisis does have some positive impacts on Latin American stock markets. Our findings provide important information for investors and market regulators in their decision making in investment and setting regulations.
收录类别:SSCI
资源类型:期刊论文
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