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

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...

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Autores principales:	Zhu,Zhenzhen, Bai,Zhidong, Vieito,João Paulo, Wong,Wing-Keung
Lenguaje:	English
Publicado:	Universidad de Chile. Departamento de Economía 2019
Materias:	Latin American stock markets randomness market efficiency stochastic dominance JEL Classification: G14, G15
Acceso en línea:	http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0718-52862019000100005
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spelling	oai:scielo:S0718-528620190001000052019-07-31The impact of the global financial crisis on the efficiency and performance of Latin American stock marketsZhu,ZhenzhenBai,ZhidongVieito,João PauloWong,Wing-Keung Latin American stock markets randomness market efficiency stochastic dominance JEL Classification: G14, G15 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.info:eu-repo/semantics/openAccessUniversidad de Chile. Departamento de EconomíaEstudios de economía v.46 n.1 20192019-06-01text/htmlhttp://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0718-52862019000100005en10.4067/S0718-52862019000100005
institution	Scielo Chile
collection	Scielo Chile
language	English
topic	Latin American stock markets randomness market efficiency stochastic dominance JEL Classification: G14, G15
spellingShingle	Latin American stock markets randomness market efficiency stochastic dominance JEL Classification: G14, G15 Zhu,Zhenzhen Bai,Zhidong Vieito,João Paulo Wong,Wing-Keung The impact of the global financial crisis on the efficiency and performance of Latin American stock markets
description	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.
author	Zhu,Zhenzhen Bai,Zhidong Vieito,João Paulo Wong,Wing-Keung
author_facet	Zhu,Zhenzhen Bai,Zhidong Vieito,João Paulo Wong,Wing-Keung
author_sort	Zhu,Zhenzhen
title	The impact of the global financial crisis on the efficiency and performance of Latin American stock markets
title_short	The impact of the global financial crisis on the efficiency and performance of Latin American stock markets
title_full	The impact of the global financial crisis on the efficiency and performance of Latin American stock markets
title_fullStr	The impact of the global financial crisis on the efficiency and performance of Latin American stock markets
title_full_unstemmed	The impact of the global financial crisis on the efficiency and performance of Latin American stock markets
title_sort	impact of the global financial crisis on the efficiency and performance of latin american stock markets
publisher	Universidad de Chile. Departamento de Economía
publishDate	2019
url	http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0718-52862019000100005
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The impact of the global financial crisis on the efficiency and performance of Latin American stock markets

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