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Please use this identifier to cite or link to this item: http://hdl.handle.net/10481/31495

Title: The Latin American and Spanish Stock markets
Authors: Aray, Henry
Issue Date: 2006
Abstract: In this article I analyze the Spanish stock market in an international setting. Using a simple Markov regime switching model I get a time varying measure of the effect of the return on a Latin American portfolio on the Spanish stock returns. The evidence can be summarized as follows. First, I find that this effect is positive and no so large. However, it has increased since the mid-nineties. Second, evidence for the returns on size portfolios shows that most of the effect accrues indirectly through common risk factors. The portfolio composes of stocks with small capitalization is the most affected. Nevertheless, the relative effect of the Latin America to the effect of the world only increases for the portfolio composes of stocks with big capitalization since the mid-nineties. Third, evidence for the returns on sector portfolios shows that the most active sectors investing in Latin America are the most affected. Fourth, I conclude that there is no a positive relatio nship between â-risk and flows of foreign direct investment.
Publisher: Universidad de Granada. Departamento de Teoría e Historia Económica
Series/Report no.: The Papers;06/12
Keywords: Markov switching model
Maximum likelihood estimation
Stock returns
URI: http://hdl.handle.net/10481/31495
Rights : Creative Commons Attribution-NonCommercial-NoDerivs 3.0 License
Citation: Aray, H. The Latin American and Spanish Stock markets. Universidad de Granada. Departamento de Teoría e Historia Económica (2006). (The Papers; 06/12). []
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