رفتارهای غیرارادی گوناگون بازارهای سهام در حال ظهور آمریکای لاتین
|کد مقاله||سال انتشار||تعداد صفحات مقاله انگلیسی||ترجمه فارسی|
|16118||2001||19 صفحه PDF||سفارش دهید|
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Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : International Review of Financial Analysis, Volume 10, Issue 3, Autumn 2001, Pages 287–305
Few studies on emerging markets have been devoted to examine the nature of their volatility. This work analyzes the time series characteristics of six major Latin American equity markets: Argentina, Brazil, Chile, Colombia, Mexico, and Venezuela. Non linear dependency and autoregressive conditional heterokedasticity are studied. The work includes several GARCH(p.q) models, including their exponential and GARCH-in-mean extensions. Weekly data for the 1989–1994 period from the International Financial Corporation is used. Not a single (G)ARCH model was found to depict volatility of these markets. Different models are more appropriate for each country. The best models seem adequate; the models reject autocorrelation, the distribution of the residuals is normal is all cases but one, the series are integrated, and heterokedasticity is rejected. The presence of heterokedasticity and autocorrelation in the major Latin American stock exchanges reflects their thinness and the presence of inefficiencies which reflect in time dependent high volatility.
Sophisticated research on the emerging capital markets has been possible during the last few years due to the impressive growth and internationalization of some of these markets, spurred by financial liberalization and deregulation and structural changes implemented in their economies. Rising interest in these markets has been also made possible due to the availability of important data banks. Continuous and reliable time series about emerging markets activity has led to important studies to characterize the characteristic of these markets. Originally, “financial repression” and the lack of information limited the study of emerging capital markets to descriptive studies and policy oriented papers. Important models about financial intermediation and economic growth were also put forth, strongly suggesting financial liberalization to promote the participation of the capital markets in the savings and investments processes of the developing nations.1 Structural changes and financial liberalization policies undertaken by many countries during the last decade, along with economic and financial globalization, promoted an accelerated growth of stock exchanges along the world. Some “emerging” markets rose in importance and brought the attention of both practitioners and scholars. This led to an increased interest in determining the opportunities of investing in those markets to enhance portfolio returns.2 The increased availability of information about these markets soon led to more serious empirical studies, beginning timidly with some inefficiency studies.3 Currently, the financial literature gives account of studies dealing with co-movements, dynamic linkages, co-integration, seasonal effects, and other phenomena from the emerging markets.4 Nevertheless, in relative terms, the literature on emerging markets is still scanty. Moreover, there are few studies identifying their stochastic behavior particularly concerning volatility. ARCH, ARCH-M, and GARCH and EGARCH-M models have been used to study these markets by Chiang, Jeon, and Oh (1996), Errunza, Hogan, Kini, and Padmanabhan (1994), Islam and Rodriguez (1997), Koutmos et al. (1993), Liu and Ming-Shiun (1997), Ortiz and Soldevilla (1997), and Thomas (1995). Complementing this research, this work attempts to study the time-series characteristics of six major Latin American stock markets: Argentina, Brazil, Chile, Colombia, Mexico, and Venezuela. Nonlinear dependency and autoregressive conditional heterokedasticity are studied. Traditionally, stock market returns have been carried out assuming homokedasticity. Following recent advances in the financial literature, this paper examines heterokedastic behavior of these six Latin American markets. The study includes several GARCH(p,q) models including their exponential and GARCH-in mean extensions. 5 The study includes weekly data from 1989 to 18994, period when stock markets for the area grew significantly as a result of strong adjustment programs and financial liberalization policies implemented by the governments of Latin America in response to their debt crisis (Edwards, 1995); their explosive growth during that period also constitutes the roots for the financial crisis that ensued in those countries, beginning with the December 1994 macro peso devaluation. The paper is organized in five sections, including this introduction. Section 2 describes briefly some institutional characteristics of the Latin American stock exchanges. Section 3 presents the basic stochastic characteristics of the return series for the Latin American stock markets, both in terms of dollars and in terms of their local currency. Section 4 presents the models characteristics and the main results for the autoregressive models. Section 5 is a brief conclusion.
نتیجه گیری انگلیسی
The six major Latin American markets analyzed in this study experienced an explosive growth during the end of the 1980s and beginning of the 1990s. This growth reflects in the stochastic characteristic of this market. Dollar returns were consistently lower than local monthly returns during the 1989–1994 period. The standard deviation of the dollar returns was also generally higher than volatility measured in local currency. Major stochastic characteristics of the Latin American stock markets also revealed time dependency of returns, heterokedasticity, and lack of a normal distribution. Returns of this market during the period under analysis were asymmetric both in dollar and local currency terms. Both right skewed and left skewed patterns were discerned. In all cases, the distributions were leptokurtic. Assuming constant variance, the AR processes revealed the importance of several lags in addition to t−1. These lags were irregular, and, in some cases, distant; perhaps, revealing the lack of continuous and reliable information about economic activity and stock market activity in these markets. It probably also reveals irregular patterns of market information releases, because no significant cyclical patterns were found out. Due to the intrinsic characteristics of these markets, not a single (G)ARCH model was found to depict market activity from the six Latin American stock markets. A different model had to be applied in each case. The best models seem adequate and, according to several statistical tests, the models reject autocorrelation, the distribution of the residuals is normal (with the exception of one case), the series are integrated, and heterokedasticity is rejected. The presence of heterokedasticity and autocorrelation clearly suggests the existence of market inefficiencies in the Latin American stock exchanges, which reflects in high volatility. These markets became therefore very sensitive to poor macro policymaking, capital reversals, speculative attacks, and the behavior of international capital markets, with which they have established increasing investment ties. It is therefore not surprising that these markets during the mid- and late-1990s increased sharply their volatility and experienced severe downfalls, triggered mainly by domestic macroeconomic disequilibria, manifested particularly by severe balance of payments deficit and extreme fragility of the banking system due to adverse selection and moral hazard problems derived from poor planned liberalization policies, coupled with excessive government guarantees to baking deposits16; indeed, these disequilibria have frequently led to severe currency crisis and banking crisis, identified as “twin crisis” at the developing countries (Kaminsky & Reinhart, 1999). Furthermore, in this highly unstable environment, it is not surprising either that the Latin American stock exchanges, and those from other developing countries, would also become important mechanisms for transmission of the crisis to all sectors of the economy Alford, 1995, Cabello, 1999 and Ortiz, 2000a, generating with their negative behavior a “triplet crisis” (Ortiz, 2000b). Five lessons can be drawn from the volatile behavior of the Latin American stock markets: (1) liberalization policies must be well planned and implemented in their magnitude, quality, and sequencing; (2) the growth and internationalization of the Latin American stock markets show their high potential to become an effective mechanism to promote corporate and economic development; further, well though reforms are necessary to increase their efficiency, liquidity, credibility, and stability; (3) the availability of information, and limited state intervention should be further promoted to avoid asymmetric information and related problems of adverse selection and moral hazard at financial markets and financial institutions; (4) policies for prudential banking and financial institutions regulation should be enhanced; (5) government discipline is paramount to achieve stable economic growth and create a favorable real and financial investment environment.