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Author : Eduardo E. Sandoval
Publisher :
ISBN 13 :
Total Pages : 154 pages
Book Rating : 4.:/5 (318 download)
Download or read book Risk, Return and Integration in Latin American Equity Markets written by Eduardo E. Sandoval and published by . This book was released on 2001 with total page 154 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Rishma Vedd
Publisher :
ISBN 13 :
Total Pages : 12 pages
Book Rating : 4.:/5 (13 download)
Download or read book The Risk-Return Trade-Off of Investing in Latin American Emerging Stock Markets written by Rishma Vedd and published by . This book was released on 2014 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we examine risk-return trade-off of investing in Latin American emerging stock markets. In particular, the study seeks to examine whether equities from Latin American emerging markets might have offered the Canadian investor high returns for a relatively low level of risk when combined into a portfolio of Canadian shares. Optimal portfolios were derived based on historic (ex-post) observations and evaluated utilizing the mean return per unit of risk (MRPUR) performance measure. In particular, the performance of the MRPUR-optimal emerging market portfolio was compared with the MRPUR of a portfolio consisting solely of Canadian shares to determine whether any benefits resulted from diversifying into the emerging stock markets over the ten-year periods. The results revealed substantial differences in the risk-return characteristics of the MRPUR-optimal portfolios.
Author : Kent W. Hargis
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Time-Varying Transmission of Prices and Volatility written by Kent W. Hargis and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The impact of foreign participation on the integration of Latin American equity markets with the world capital markets and transmission of volatility between the United States and Latin America is investigated with various investment liberalizations. First, the risk exposure of Latin American equity markets as measured by the beta on the world portfolio is found to increase after liberalization in Argentina and Brazil while it increases in Chile with an index of ADRs listed in the U.S. Second, the volatility of the Argentine and Brazilian markets is found to decline significantly after liberalization and with various measures of foreign participation. Third, the transmission of volatility from the U.S. to Latin America is found to increase significantly in Mexico after liberalization. However, volatility is found to be driven primarily by domestic factors in Argentina, Brazil and Chile. It is concluded that foreign participation in Latin American equity markets has increased the influence of world returns on local market returns while the volatility of Latin American equity markets has declined under various investment liberalizations.
Author : Francesc Pons Sintes
Publisher :
ISBN 13 :
Total Pages : 256 pages
Book Rating : 4.:/5 (316 download)
Download or read book Risk and Return in the Latin American Emerging Stock Markets written by Francesc Pons Sintes and published by . This book was released on 1994 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Augusto de la Torre
Publisher : World Bank Publications
ISBN 13 : 0821365444
Total Pages : 232 pages
Book Rating : 4.8/5 (213 download)
Download or read book Emerging Capital Markets and Globalization written by Augusto de la Torre and published by World Bank Publications. This book was released on 2006-10-20 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: Back in the early 1990s, economists and policy makers had high expectations about the prospects for domestic capital market development in emerging economies, particularly in Latin America. Unfortunately, they are now faced with disheartening results. Stock and bond markets remain illiquid and segmented. Debt is concentrated at the short end of the maturity spectrum and denominated in foreign currency, exposing countries to maturity and currency risk. Capital markets in Latin America look particularly underdeveloped when considering the many efforts undertaken to improve the macroeconomic environment and to reform the institutions believed to foster capital market development. The disappointing performance has made conventional policy recommendations questionable, at best. 'Emerging Capital Markets and Globalization' analyzes where we stand and where we are heading on capital market development. First, it takes stock of the state and evolution of Latin American capital markets and related reforms over time and relative to other countries. Second, it analyzes the factors related to the development of capital markets, with particular interest on measuring the impact of reforms. And third, in light of this analysis, it discusses the prospects for capital market development in Latin America and emerging economies and the implications for the reform agenda.
Author : Mauro Miranda
Publisher : CFA Institute Research Foundation
ISBN 13 : 194496049X
Total Pages : 137 pages
Book Rating : 4.9/5 (449 download)
Download or read book Latin American Local Capital Markets: Challenges and Solutions written by Mauro Miranda and published by CFA Institute Research Foundation. This book was released on 2018-06-15 with total page 137 pages. Available in PDF, EPUB and Kindle. Book excerpt: Capital markets, both for debt and equity securities, have allowed firms to secure funding for productive uses while providing investors with opportunities for portfolio diversification. The importance of capital markets for the development of economies and for the betterment of society cannot be overstated. This is just as true in emerging economies with free markets, such as those found in Latin America, as it is in developed markets. However, capital markets in the region are not being utilized to the fullest. The idea behind this collection of articles is to offer a primer on the development of local capital markets in several select countries in Latin America. We discuss not only their history and current status but also their future. To this end, seven authors contributed to this project, each writing about one of seven countries: Argentina, Brazil, Chile, Colombia, Mexico, Peru, and Uruguay. Each author decided which issues they believe matter most to the progress of their local capital markets. Some authors chose a qualitative and institutional description of local markets, whereas others adopted a more quantitative approach.
Author : Richard Heaney
Publisher :
ISBN 13 :
Total Pages : 24 pages
Book Rating : 4.:/5 (129 download)
Download or read book Regional Integration of Stock Markets in Latin America written by Richard Heaney and published by . This book was released on 2008 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the trend towards regionalism upon stock market returns in Latin America. Average correlations with other countries in the region and with the world suggest that the Latin American stock markets have become more regionally integrated over the study period. This finding reflects the growing cooperation between Latin American countries since liberalisation in the early 1990s. Prior to liberalisation, Latin American stock market returns showed greater association with the more developed markets, particularly the USA, than with their closest neighbour. This may have been due to the high dependence upon debt from these developed countries. Analysis highlights the importance of stock market data in helping researchers understand and monitor the regional integration process in Latin America.
Author : Michael Molinski
Publisher : Bloomberg Press
ISBN 13 : 9781576600658
Total Pages : 320 pages
Book Rating : 4.6/5 (6 download)
Download or read book Investing in Latin America written by Michael Molinski and published by Bloomberg Press. This book was released on 1999-07-01 with total page 320 pages. Available in PDF, EPUB and Kindle. Book excerpt: An analysis of Latin America's growth potential reveals where to find the best investments, where specific economies are headed, and how to best use Brady Bonds and derivatives to exploit the market
Author : Pascal Rakers
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (966 download)
Download or read book Emerging Latin American Stock Markets - An Empirical Analysis of Market Efficiency, Diversification Benefits and Risk written by Pascal Rakers and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis provides an overview for investors interested in the Latin American equity markets. In the beginning, recent trends and economic developments in the emerging markets are reviewed. After that, the diversification benefits of expanding the investment horizon by including Latin American stocks are evaluated. The Colombian and Peruvian market provided investors with high returns in the past and the Chilean stocks showed low risk. Therefore, the inclusion of these markets might prove to be beneficial. Market efficiency is inspected via variance ratio tests and technical trading strategies. Many markets are found to be inefficient. That is why investors need to check whether crucial information is currently reflected in the market price. At the same time, they can potentially generate excess returns by employing technical trading rules. Lastly, tail risk measures are depicted, risk premia are compared between the markets, and the influence of exchange rates on stock returns is explored. This allows investors to be aware of the potential consequences of extreme events, compare return rewards for risk between the markets, and the impact of exchange rates.
Author : Campbell R. Harvey
Publisher :
ISBN 13 :
Total Pages : 57 pages
Book Rating : 4.:/5 (129 download)
Download or read book Predictable Risk and Returns in Emerging Markets written by Campbell R. Harvey and published by . This book was released on 2010 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt: The emergence of new equity markets in Europe, Latin America, Asia, the Mideast and Africa provides a new menu of opportunities for investors. These markets exhibit high expected returns as well as high volatility. Importantly, the low correlations with developed countries' equity markets significantly reduces the unconditional portfolio risk of a world investor. However, standard global asset pricing models, which assume complete integration of capital markets, fail to explain the cross-section of average returns in emerging countries. An analysis of the predictability of the returns reveals that emerging market returns are more likely than developed countries to be influenced by local information.
Author : Dinara Apiyeva
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (798 download)
Download or read book The Determinants of Stock Market Performance in Emerging Economies written by Dinara Apiyeva and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: A phenomenal growth of emerging markets has not only attracted an enormous interest from international instinational and individual investors, but it has also proved that these markets cannot be treated in the same way as developed markets. This research is intended to identify the main determinants of the stock market performance in emerging economies of Latin America and Asia Pacific. The study has been motivated by the increasing importance of these equity markets on the international financial arena. The capital markets of emerging economies have not only become an important asset class for international investors, but also they have become a new and increasingly important source of foreign capital for these countries. This research examines a set of macroeconomic variables, including inflation, foreign exchange rates, market integration, the Institutional Investor's country ratings, the U.S interest rates and financial risk premiums, and their role in explaining the fluctuations in the total returns on the stock markets in six Latin American and four Asia Pacific countries. The results show that the Institutional Investor's country ratings and financial risk premium are the best determinants of the stock market performance in Latin American and Asian Pacific countries. The attempt to separate the financial and country risks has also been undertaken with the successful results in four out of ten countries. The further findings show that financial risk premiums are an important risk factor, which explains the stock market returns in seven out of ten countries and, moreover, financial risk premiums appear to be an aggregate risk factor, which can successfiilly replace five macroeconomic variables, and above that they contain incremental information, which successfully explain the variance in the stock market retums. The findings may have significant implications for international investors and national policymakers in the emerging markets. The findings highlight the significance of the country default risk in explaining the stock market performance in the Latin American and Asia Pacific economies.
Author : Daniel Calderon-Xelhuantzi
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (642 download)
Download or read book Risk Premium in Latin American Equity Markets written by Daniel Calderon-Xelhuantzi and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : A. Brooks-Senftleben
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.A/5 ( download)
Download or read book International Portfolio Diversification written by A. Brooks-Senftleben and published by . This book was released on 1994 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Citallitl Ijnaloc Cabrera Hernandez
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (642 download)
Download or read book World Market Integration in Latin American Equity Markets written by Citallitl Ijnaloc Cabrera Hernandez and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Andres Ramirez Hassan
Publisher :
ISBN 13 :
Total Pages : 16 pages
Book Rating : 4.:/5 (13 download)
Download or read book Co-Movements Between Latin American and U.S. Stock Markets written by Andres Ramirez Hassan and published by . This book was released on 2014 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: Currently, the world is facing a continuous process of integration in di fferent aspects and fi nancial markets are no exception to this development. Despite the fact that global integration is gradual, one can fi nd some specfi c events that might help to accelerate this trend. This paper shows that after the fi nancial crisis of 2008, which mainly occurred in the United States, the Latin American stock markets exhibit a higher level of convergence, measured by the correlation between the annual returns of their stock market indices. Additionally, we find convergence in the coe ficient of sensitivity between Latin American and U.S. stock markets, using dynamic linear models at the regional level. In particular, we uncover consistent movements in the levels of sensitivity between the daily annual returns of the Latin American indices and the S&P index after the fi nancial crisis. This kind of convergence might be a positive sign to accelerate the integration process in Latin America stock markets, which has had a slow development since its beginning a few years ago.
Author : Victor Silverio Posadas Hernandez
Publisher : Deutscher Universitätsverlag
ISBN 13 : 9783835002739
Total Pages : 195 pages
Book Rating : 4.0/5 (27 download)
Download or read book Stock Market Anomalies written by Victor Silverio Posadas Hernandez and published by Deutscher Universitätsverlag. This book was released on 2006-02-24 with total page 195 pages. Available in PDF, EPUB and Kindle. Book excerpt: Victor Silverio Posadas Hernandez explores three sets of questions: What are the investment laws in the Latin American emerging markets (LAEM) and how do they compare to those of developed countries? How heterogeneous are the implicit trading costs in the LAEM and which factors are responsible for the heterogeneity? How does the predictability of stock returns in the LAEM differ from those documented for developed markets?
Author : Brian M. Lucey
Publisher :
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.:/5 (129 download)
Download or read book Integration Analysis of Latin American Stock Markets 1993-2007 written by Brian M. Lucey and published by . This book was released on 2009 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies the time varying relationships between seven Latin America stock markets, the United States and a regional benchmark. Our interest is motivated by the completion of financial liberalization across major Latin America countries in the early 1990s. Starting with correlation analysis, we find relatively strong short-term co-movements between larger Latin America markets and the regional benchmark and U.S. market. We extend our analysis by applying a number of cointegration tests to examine the long-term equilibrium relations. The results are strongly in agreement that the Latin America equity markets have not become integrated either within the region or the United States, which suggests long-run diversification benefits to U.S and other international investors. Two recursive analyses are also implemented to unveil the dynamics of the regional and international integration.
