Country financial risk and stock market performance: the case of Latin America

Article

Clark, E., Kassimatis, K. and Temple University, School of Business Administration 2004. Country financial risk and stock market performance: the case of Latin America. Journal of economics and business.. 56 (1), pp. 21-41. https://doi.org/10.1016/j.jeconbus.2003.03.001
TypeArticle
TitleCountry financial risk and stock market performance: the case of Latin America
AuthorsClark, E., Kassimatis, K. and Temple University, School of Business Administration
Abstract

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.

PublisherElsevier
JournalJournal of economics and business.
ISSN0148-6195
Publication dates
Print2004
Publication process dates
Deposited25 Feb 2009
Output statusPublished
Digital Object Identifier (DOI)https://doi.org/10.1016/j.jeconbus.2003.03.001
LanguageEnglish
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