The impact of the global financial crisis on the efficiency and performance of Latin American stock markets
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1 juin 2019
- handle: 10670/1.wrrjxp
Ce document est lié à :
10.4067/S0718-52862019000100005
info:eu-repo/semantics/openAccess
Mots-clés
Latin American stock markets randomness market efficiency stochastic dominance JEL Classification: G14, G15Sujets proches
Exchanges, Securities Stock-exchange Securities exchanges Equity markets Commercial corners Stock markets Bulls and bears Corners, Commercial Exchanges, StockCiter ce document
Zhenzhen Zhu et al., « The impact of the global financial crisis on the efficiency and performance of Latin American stock markets », Estudios de economía, ID : 10670/1.wrrjxp
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Résumé
: 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.