Contagion of us subprime mortgage crisis to Colombian economy: measured by financial market data
The long-horizon event study methodology is used to document the severe impact of the US subprime mortgage crisis on the Colombian economy. The estimated parameter of a constantmean return model is used to derive the “abnormal return” on the market portfolios of Colombia over its selected event wind...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Konrad Lorenz Fundación Universitaria
2011-06-01
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| Series: | Suma de Negocios |
| Subjects: | |
| Online Access: | http://publicaciones.konradlorenz.edu.co/index.php/SumaDeNegocios/article/view/774 |
| Summary: | The long-horizon event study methodology is used to document the severe impact of the US subprime mortgage crisis on the Colombian economy. The estimated parameter of a constantmean return model is used to derive the “abnormal return” on the market portfolios of Colombia over its selected event window. Analyses of the results reveal that the US subprime mortgage crisis negatively affected both the Colombian and the US equity markets almost identically in terms of cumulative percentage reductions and timing. Statistic testing results seem to support the qualitative observation. This phenomenon can be attributable to the recent multilateral and regional trade agreements that increase the flow of trade and foreign direct investment to Colombia. |
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| ISSN: | 2215-910X 2215-910X |