Heterokedastic behavior of the Latin American emerging stock markets

Ortíz, Edgar; Arjona, Enrique

doi:10.1016/s1057-5219(01)00057-6

Cited by 16 publications

(10 citation statements)

References 30 publications

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“…This is important because of the time delays in the production of information concerning the macroeconomic variables (see e.g., Bilson et al, 2001;Ortiz & Arjona, 2001). In particular, the transmission and incorporation of information into stock returns is not always instantaneous.…”

Section: Econometric Methodologymentioning

confidence: 99%

“…That is an indication that the markets in Argentina and Brazil which have standard deviations of 15.8 and 18.2, respectively, are far more volatile than Chile and Mexico which have standard deviations of 7.4 and 10.6, respectively. These differences in volatility suggest that risk levels and risk premia in Latin American stock markets may reflect the characteristics prevailing in each country (Ortiz & Arjona, 2001). In terms of skewness, Argentina and Mexico have returns distributions that are positively skewed while those for Brazil and Chile are negatively skewed.…”

Section: Datamentioning

confidence: 99%

See 1 more Smart Citation

Empirical relationship between macroeconomic volatility and stock returns: Evidence from Latin American markets

Abugri

2008

International Review of Financial Analysis

127

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Section: Econometric Methodologymentioning

confidence: 99%

Section: Datamentioning

confidence: 99%

Empirical relationship between macroeconomic volatility and stock returns: Evidence from Latin American markets

Abugri

2008

International Review of Financial Analysis

127

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“…The average daily returns of MSCI ESG indices (which cover the most recent periods) for all countries are higher and have lower market volatility than the DJSI indices and conventional composite indices except for Japan, which has a negative average daily return. The difference in returns and volatility of different capital markets suggest that the risk level and risk premia may reflect different prevailing characteristics in each country (Ortiz & Arjona ).…”

Section: Data Description and Analysismentioning

confidence: 99%

Are environmental social governance equity indices a better choice for investors? An Asian perspective

Rehman

Zhang

Uppal

et al. 2016

Business Ethics: A European Review

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This article examines the risk and return profiles of stock indices composed of companies meeting environmental, social and governance (ESG) screening criteria [such as the Dow Jones Sustainability Indices (DJSI)] and conventional composite indices of eight Asian countries from 2002 to 2014. The results indicate that there are no significant differences in the returns or risk-adjusted returns between the ESG indices and the composite indices within countries. The results do reveal that the market volatility of the ESG indices is higher than the market volatility of the conventional indices. Market betas of DJSI and ESG equity indices are significantly lower than betas of the composite equity indices. The overall results indicate that the performance of ESG equity indices of many Asian countries is similar to the performance of conventional indices, suggesting that investors can pursue socially responsible investing objectives without a material difference in portfolio performance from conventional investing.

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“…They also rejected the hypothesis of no asymmetric effect at high significance level. Ortiz and Arjona (2001) examines the time series characteristics of six major Latin American markets including Argentina, Brazil, Chile, Colombia, Mexico, from 1989-1994. They employed different GARCH models to typify the conditional heteroscedasticity characteristics for each market.…”

Section: Introductionmentioning

confidence: 99%

Modelling and forecasting volatility of the Botswana and Namibia stock market returns: evidence using GARCH models with different distribution densities

Coffie¹

2018

GBER

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This paper estimates and compares alternative distribution density forecast methodology of three generalised autoregressive conditional heteroscedasticity (GARCH) models for Botswana and Namibia stock market returns. The symmetric GARCH and asymmetric Glosten Jagannathan and Runkle (GJR) version of GARCH (GJR-GARCH) and exponential GARCH methodology are employed to investigate the effect of stock return volatility in both stock markets using Gaussian, Student-t and generalised error distribution densities. The evidence reveals that the current shocks to the conditional variance will have less impact on future volatility in both markets. News impact is asymmetric in both stock markets leading to the existence of leverage effect in stock returns. Besides, both markets exhibit reverse volatility asymmetry, contradicting the widely accepted theory of volatility asymmetry. Regarding forecasting evaluation, the results reveal that the symmetric GARCH model coupled with fatter-tail distributions present a better out-of-sample forecast for both stock markets.

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Heterokedastic behavior of the Latin American emerging stock markets

Cited by 16 publications

References 30 publications

Empirical relationship between macroeconomic volatility and stock returns: Evidence from Latin American markets

Empirical relationship between macroeconomic volatility and stock returns: Evidence from Latin American markets

Are environmental social governance equity indices a better choice for investors? An Asian perspective

Modelling and forecasting volatility of the Botswana and Namibia stock market returns: evidence using GARCH models with different distribution densities

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