Country financial risk and stock market performance: the case of Latin America
Clark, Ephraim A. and Kassimatis, Konstantinos (2004) Country financial risk and stock market performance: the case of Latin America. Journal of economics and business., 56 (1). pp. 21-41. ISSN 0148-6195
Full text is not in this repository.
This item is available in the Library Catalogue
We use the Clark [Cross-border investment risk. Euromoney Books (1991a); Euromoney (1991b); Euromoney (1991c)] methodology to estimate the macroeconomic financial risk premium from 1985 to 1997 for six Latin American countries with the largest stock markets, and test whether and to what extent it affects their stock markets’ performance. We find that the macroeconomic financial risk premium is a significant explanatory variable for five of the countries, that accounts for about 12% of annual variations in the stock market indices. The results indicate that there are no country-specific fixed effects and that sensitivity to changes in the financial risk premium is similar for all five countries.
|Research Areas:||A. Middlesex University Schools and Centres > Business School > Accounting and Finance|
|Deposited On:||25 Feb 2009 09:19|
|Last Modified:||10 Dec 2014 20:29|
Repository staff only: item control page
Full text downloads (NB count will be zero if no full text documents are attached to the record)
Downloads per month over the past year