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.
|Number of pages||11|
|Publication status||Published - 2013|
- Financial Integration
- Casewise bootstrap
- the US