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...
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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 |
| _version_ | 1811284520260861952 |
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| author | Chu V. Nguyen Sebastián Palomo María Garrett |
| author_facet | Chu V. Nguyen Sebastián Palomo María Garrett |
| author_sort | Chu V. Nguyen |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-04-13T02:29:54Z |
| format | Article |
| id | doaj.art-f3f601903588446b8b7b082914dee050 |
| institution | Directory Open Access Journal |
| issn | 2215-910X 2215-910X |
| language | English |
| last_indexed | 2024-04-13T02:29:54Z |
| publishDate | 2011-06-01 |
| publisher | Konrad Lorenz Fundación Universitaria |
| record_format | Article |
| series | Suma de Negocios |
| spelling | doaj.art-f3f601903588446b8b7b082914dee0502022-12-22T03:06:37ZengKonrad Lorenz Fundación UniversitariaSuma de Negocios2215-910X2215-910X2011-06-01232330Contagion of us subprime mortgage crisis to Colombian economy: measured by financial market dataChu V. NguyenSebastián PalomoMaría GarrettThe 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.http://publicaciones.konradlorenz.edu.co/index.php/SumaDeNegocios/article/view/774Event studysubprime mortgageabnormal returnsconstant mean returns modelUS- Colombia Trade Promotion Agreement. |
| spellingShingle | Chu V. Nguyen Sebastián Palomo María Garrett Contagion of us subprime mortgage crisis to Colombian economy: measured by financial market data Suma de Negocios Event study subprime mortgage abnormal returns constant mean returns model US- Colombia Trade Promotion Agreement. |
| title | Contagion of us subprime mortgage crisis to Colombian economy: measured by financial market data |
| title_full | Contagion of us subprime mortgage crisis to Colombian economy: measured by financial market data |
| title_fullStr | Contagion of us subprime mortgage crisis to Colombian economy: measured by financial market data |
| title_full_unstemmed | Contagion of us subprime mortgage crisis to Colombian economy: measured by financial market data |
| title_short | Contagion of us subprime mortgage crisis to Colombian economy: measured by financial market data |
| title_sort | contagion of us subprime mortgage crisis to colombian economy measured by financial market data |
| topic | Event study subprime mortgage abnormal returns constant mean returns model US- Colombia Trade Promotion Agreement. |
| url | http://publicaciones.konradlorenz.edu.co/index.php/SumaDeNegocios/article/view/774 |
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