Do foreign portfolio flows increase risk in emerging stock markets? Evidence from six Latin American countries 1999-2008

Do foreign portfolio flows increase risk in emerging stock markets? Evidence from six Latin American countries 1999-2008

Foreign portfolio flows have been blamed for causing instability in emerging markets, especially during financial crises. This study measured the effect of foreign capital flows on volatility and exposure to world market risk in the six largest Latin American stock markets: Argentina, Brazil, Colom...

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Bibliographic Details
Main Authors: Diego A. Agudelo, Milena M. Castaño
Format: Article
Language:English
Published: Universidad Nacional de Colombia 2011-03-01
Series:Innovar: Revista de Ciencias Administrativas y Sociales
Subjects:
foreign portfolio flows
emerging markets
market risk
ARCH-GARCH
VAR
Online Access:http://revistas.unal.edu.co/index.php/innovar/article/view/35089

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