Excess Returns and Systemic Risk for Chile and Mexico
AbstractThis paper is concerned with excess returns in the equity markets and the evolution of systemic risk in Chile and Mexico during the years 1989-1998, a period of financial openness, policy reform and crisis. A time varying generalised autoregressive conditional heteroscedastic in mean framework is used to estimate progressively more complex models of risk. They include the univariate own volatily model, the bivariate market pricing model, and the trivariate intertemporal asset pricing model. The results show no evidence of a significant reduction in systemic risk rather excess returns have remained volatile for both countries. For Chile, excess returns are significantly related to own lagged levels, while for Mexico excess are significantly related to own lagged variances. The influence of global factors are relatively minimal compared to potential home factors.
Upon submission of an article, authors are asked to indicate their agreement to abide by an open-access license. The license permits any user to download, print out, extract, archive, and distribute the article, so long as appropriate credit is given to the authors of the work. The license ensures that your article will be as widely available as possible and that your article can be included in any scientific archive. Please read about the Creative Commons Attribution License before submitting your paper.
Except where otherwise noted, content on this site is licensed under a Creative Commons Attribution 3.0 License