Political Risk in Latin American Stock Markets: A Rational Expectations Approach

1994 ◽  
pp. 160-185
Author(s):  
Benoit Carmichael ◽  
Jean-Claude Cosset ◽  
Klaus P. Fischer
Keyword(s):  
Latin American ◽  
Stock Markets ◽  
Rational Expectations ◽  
Political Risk

An Analysis of “Sell in May and Go Away” Strategy in Latin American Stock Markets

2021 ◽  
pp. 1-26
Author(s):  
Juliano Ribeiro de Almeida ◽  
Daniel Reed Bergmann ◽  
José Roberto Ferreira Savoia ◽  
Guilherme Ribeiro de Almeida ◽  
Marina Arantes Braga
Keyword(s):  
Latin American ◽  
Stock Markets

scholarly journals Do psychological barriers exist in Latin American stock markets?

2020 ◽  
Vol 35 (2) ◽  
pp. 29-56
Author(s):  
Júlio Lobão ◽  
Natércia Fortuna ◽  
Franklin Silva
Keyword(s):  
Latin American ◽  
Stock Markets ◽  
Psychological Barriers

scholarly journals Evaluación del efecto tamaño de empresa en los mercados bursátiles de América Latina

2013 ◽  
Vol 17 (37) ◽  
pp. 5-28
Author(s):  
Juan Benjamín Duarte Duarte ◽  
Zulay Yesenia Ramírez León ◽  
Katherine Julieth Sierra Suárez
Keyword(s):  
Latin America ◽  
Size Effect ◽  
Cross Section ◽  
Latin American ◽  
Stock Markets ◽  
The Cross ◽  
America Latina

This paper assesses the existence of the size effect on the most important stock markets in Latin America (Argentina, Brazil, Chile, Colombia, Mexico and Peru) for the period between 2002 and 2012, using the cross-section contrast methodology of the size effect in the CAPM context. Results show that there is reversed effect in some of the Latin American markets.

scholarly journals A study of co-movements between U.S. and Latin American stock markets: A cross-bicorrelations perspective

DYNA ◽  
2016 ◽  
Vol 83 (196) ◽  
pp. 143-148 ◽  
Author(s):  
Semei Coronado-Ramirez ◽  
Omar Rojas-Altamirano ◽  
Rafael Romero-Meza ◽  
Francisco Venegas-Martínez
Keyword(s):  
Stock Market ◽  
Latin American ◽  
Stock Markets ◽  
Nonlinear Dependence ◽  
Standard And Poor's ◽  
Non Linear ◽  
Market Indexes

<p>This work applies a test that detects dependence between pairs of variables. The kind of dependence is a non-linear one, and the test is known as cross-bicorrelation, which is associated with Brooks and Hinich [1]. We study dependence periods between U.S. Standard and Poor's 500 (SP500), used as a benchmark, and six Latin American stock market indexes: Mexico (BMV), Brazil (BOVESPA), Chile (IPSA), Colombia (COLCAP), Peru (IGBVL) and Argentina (MERVAL). We have found windows of nonlinear dependence and comovement between the SP500 and the Latin American stock markets, some of which coincide with periods of crisis, leading to an interpretation of a possible contagion or interdependence.</p>

Political risk and sovereign spreads in Latin America

2016 ◽  
Vol 29 (2) ◽  
pp. 165-180 ◽  
Author(s):  
Erwin Hansen ◽  
Jennifer Zegarra
Keyword(s):  
Latin America ◽  
Latin American ◽  
Fixed Effects ◽  
Risk Measures ◽  
Political Risk ◽  
Sovereign Risk ◽  
Content Type ◽  
Sovereign Spreads ◽  
Strong Positive Relationship ◽  
The 2008 Financial Crisis

Purpose The purpose of this paper is to explore the relationship between six different dimensions of political risk in a country and its spread for a sample of 12 Latin American countries. Design/methodology/approach The methodology applied consists of panel estimators with fixed effects. In addition, a panel data model with instrumental variables is considered to tackle with potential problems of endogeneity in the model. Findings The results show there is a strong positive relationship between political risk and sovereign spread in Latin America, i.e., greater political risk is associated with greater sovereign spread. This effect is particularly significant when the political risk is associated with a weak rule of law or low-quality regulation in the country. Research limitations/implications The main limitation of this study concerns the potential risks of endogeneity which might exist between sovereign risk and political risk measures, which may not have been completely eliminated with the econometric methodology used. Originality/value This paper contributes to the literature of sovereign risk by studying the dimension of political risk in detail. Specifically, six dimensions of political risk are studied. Additionally, it provides empirical evidence, including the 2008 financial crisis period, regarding the determinants of spreads on Latin American economies.

scholarly journals An Analysis of Stock Return Transmission in North and Latin America

2019 ◽  
Vol 10 (6) ◽  
pp. 14
Author(s):  
Chikashi Tsuji
Keyword(s):  
Latin America ◽  
Stock Returns ◽  
Latin American ◽  
Stock Markets ◽  
Stock Return ◽  
The Other ◽  
Var Model ◽  
Recent Period ◽  
The Us ◽  
Standard Vector

This study empirically examines the return transmission effects between the four North and Latin American stock markets in the US, Canada, Brazil, and Mexico. More specifically, applying a standard vector autoregression (VAR) model, we obtain the following interesting findings. First, (1) the return transmission effects between the four North and Latin American stock markets became much tighter in our second subsample period. Second, (2) in particular, US and Mexican stock markets are strong return transmitters in the recent period. Furthermore, (3) both in our first and second subsample periods, Brazilian stock returns do not transmit to the other three stock returns, although the other three North and Latin American stock markets affect the Brazilian stock market.

scholarly journals Markov-Switching Stochastic Processes in an Active Trading Algorithm in the Main Latin-American Stock Markets

Mathematics ◽  
2020 ◽  
Vol 8 (6) ◽  
pp. 942
Author(s):  
Oscar V. De la Torre-Torres ◽  
Evaristo Galeana-Figueroa ◽  
José Álvarez-García
Keyword(s):  
Stochastic Processes ◽  
Latin American ◽  
Stock Markets ◽  
Quantitative Model ◽  
Computer Algorithms ◽  
Stock Trading ◽  
Arch Models ◽  
Auto Regressive ◽  
Overall Performance ◽  
Gaussian Time

In the present paper, we review the use of two-state, Generalized Auto Regressive Conditionally Heteroskedastic Markovian stochastic processes (MS-GARCH). These show the quantitative model of an active stock trading algorithm in the three main Latin-American stock markets (Brazil, Chile, and Mexico). By backtesting the performance of a U.S. dollar based investor, we found that the use of the Gaussian MS-GARCH leads, in the Brazilian market, to a better performance against a buy and hold strategy (BH). In addition, we found that the use of t-Student MS-ARCH models is preferable in the Chilean market. Lastly, in the Mexican case, we found that is better to use Gaussian time-fixed variance MS models. Their use leads to the best overall performance than the BH portfolio. Our results are of use for practitioners by the fact that MS-GARCH models could be part of quantitative and computer algorithms for active trading in these three stock markets.

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