Does Latin America affect the Spanish stock market?

Henry Aray ()

International Journal of Financial Markets and Derivatives, 2010, vol. 1, issue 3, 326-348

Abstract: Using a simple Markov regime switching model, a time-varying measure of the effect of the return on a Latin American portfolio on the Spanish stock returns is obtained. The evidence can be summarised as follows. First, the effect is positive but not very large. However, it has increased since the mid-1990s. Second, evidence for the returns on size portfolios shows that most of the effect accrues indirectly through common risk factors. The portfolio comprising stocks with low capitalisation is affected most. Nevertheless, the relative effect of Latin America respect to the effect of the whole world only increases for the portfolio comprising stocks with high capitalisation since the mid-1990s. Third, evidence for the returns on sectoral portfolios shows that telecommunications and banking are affected most. Fourth, in relative terms, there is no clear relationship between β-risk and flows of foreign direct investment.

Keywords: Markov switching model; Spanish stock returns; foreign direct investment; FDI; Spain; Latin American portfolio; Spanish stock market. (search for similar items in EconPapers)
Date: 2010
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.inderscience.com/link.php?id=34242 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ids:ijfmkd:v:1:y:2010:i:3:p:326-348

Access Statistics for this article

More articles in International Journal of Financial Markets and Derivatives from Inderscience Enterprises Ltd
Bibliographic data for series maintained by Sarah Parker ().