EL EFECTO DE LA CRISIS FINANCIERA SUBPRIME EN LOS MERCADOS ACCIONARIOS DESARROLLADOS. ESTIMACIONES APARENTEMENTE NO RELACIONADAS SUR VERSUS GARCH (1,1)

Eduardo Sandoval and Paula Urrutia

Revista Internacional Administracion & Finanzas, 2011, vol. 4, issue 1, 1-17

Abstract: Through this article we investigate the subprime financial crisis effect, with origin in the USA, on twenty three developed stock markets according to MSCI Barra classification. The effect was measured through Jensen’s alpha, which represents a measure of value creation or destruction. To do this, the sample period was divided into pre crisis, crisis and post subprime crisis. The results show that independent of the applied estimation methods, SUR and Garch (1,1), the stock markets of Belgium and Ireland were the most negatively affected by this event. International organisms and governance systems must continue improving the financial corporate governance associated with the credit system in order to minimize moral hazard problems that are transmitted to the stock markets.

Keywords: Subprime financial crisis; Jensen´s alpha; moral hazard (search for similar items in EconPapers)
JEL-codes: G11 G15 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (1)

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