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Estudios de economía

versión On-line ISSN 0718-5286

Estudios de Economía vol.46 no.1 Santiago jun. 2019

http://dx.doi.org/10.4067/S0718-52862019000100005 

Articles

The impact of the global financial crisis on the efficiency and performance of Latin American stock markets

El impacto de la crisis financiera en la eficiencia y desempeño de mercados latinoamericanos de acciones

Zhenzhen Zhu1 

Zhidong Bai2 

João Paulo Vieito3 

Wing-Keung Wong4 

1School of Statistics, Shandong University of Finance and Economics, China

2KLASMOE and School of Mathematics and Statistics, Northeast Normal University, China

3School of Business Studies, Polytechnic Institute of Viana do Castelo, Portugal and Applied Management Research Unit - UNIAG, Portugal

4Department of Finance,Fintech Center, and Big Data Research Center, Asia University, Taiwan

Abstract:

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.

Keywords: Latin American stock markets; randomness; market efficiency; stochastic dominance; JEL Classification: G14, G15

Resumen:

Este trabajo analiza el impacto de la crisis financiera global del 2008 en siete mercados accionarios latinoamericanos. Usando diversas técnicas, se demuestra que los mercados son menos volátiles, más eficientes, que no hay oportunidades de arbitraje y que los inversionistas prefieren invertir en el periodo posterior a la crisis. Nuestros hallazgos proveen información importante para inversionistas y reguladores.

Palabras clave: Mercados accionarios latinoamericanos; aleatoriedad; mercados eficientes; dominancia estocática; Clasificación JEL: G14, G15

Full text available only in PDF format.

Texto completo disponible sólo en PDF.

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Recibido: 0 de Diciembre de 2016; Aprobado: 0 de Marzo de 2017

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