Composite leading indicators

Matkowski, Zbigniew

doi:10.1787/2074384x-table1

Economics: Key Tables From OECD 2012

DOI: 10.1787/2074384x-table1

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Composite leading indicators

Zbigniew Matkowski¹

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2014

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Cited by 2 publications

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Regime Switches in the Tangency Portfolio of NAFTA Markets During the Financial Crisis

Herrera¹,

Santillán‐Salgado²,

Ortiz³

2014

JIBE

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We study the composition of a Conditional Tangency Portfolio built with the Mexican Stock Exchange Index, the Canadian Stock Exchange Index, and the US Stock Exchange Index using a Multivariate GARCH-VCC model to compute conditional volatilities and correlations for the period March 9, 2007 to March 9, 2012. As macroeconomic stability and a more mature stock market have attracted an increasing volume of foreign portfolio investments into Mexico's Stock Exchange, we document the impact of the recent Financial Crisis (2007-2009) on these flows. We compare the evolution of the Mexican market weights in the theoretically built Conditional Tangency Portfolio to the actual Foreign Portfolio Investment flows, and find that there were significant deviations which may be explained either by a "home bias" effect or by irrational behavior motivated by investors' fears.

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Regime Switches in the Tangency Portfolio of NAFTA Markets During the Financial Crisis

Herrera¹,

Santillán‐Salgado²,

Ortiz³

2014

JIBE

View full text Add to dashboard Cite

show abstract

Handbook on energy and climate change

Fouquet¹

2013

Choice Reviews Online

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Composite leading indicators

Cited by 2 publications

References 10 publications

Regime Switches in the Tangency Portfolio of NAFTA Markets During the Financial Crisis

Regime Switches in the Tangency Portfolio of NAFTA Markets During the Financial Crisis

Handbook on energy and climate change

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