An Empirical investigation of the Colombian stock market reaction to the US market: evidence from a casewise bootstrap approach

Abdulnasser Hatemi-J, Julio Alejandro Sarmiento-Sabogal

Research output: Contribution to journalArticlepeer-review

Abstract

This paper empirically investigates the effect of returns in the US on the returns in Colombia during the period between the Black Friday and the Mortgage Crisis. Monthly data is used. A new method that is robust to non-normality and time-varying volatility is applied. Our empirical findings indicate that the Colombian financial market is significantly affected by the financial market of the US. However, the regression correlation is still less than one implying that international diversification benefits might exist. In addition, it is found that the terrorist attack of September 11 did not result in a significant change in the relationship between the two underlying markets.
Original languageEnglish
Pages (from-to)57-67
Number of pages11
JournalEconomia internazionale
Volume66
Issue number1
Publication statusPublished - 2013

Keywords

  • Financial Integration
  • Casewise bootstrap
  • Colombia
  • the US

Fingerprint Dive into the research topics of 'An Empirical investigation of the Colombian stock market reaction to the US market: evidence from a casewise bootstrap approach'. Together they form a unique fingerprint.

Cite this