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The effects of the global financial crisis on the colombian local currency bonds prices : an event study

dc.contributor.authorCayón Fallon, Edgardospa
dc.contributor.authorSarmiento Sabogal, Julio Alejandrospa
dc.contributor.authorShukla, Ravi K.spa
dc.date.accessioned2023-06-21T22:23:09Z
dc.date.available2023-06-21T22:23:09Z
dc.date.issued2016-09-12
dc.identifier.issn0144-3585
dc.identifier.urihttp://hdl.handle.net/10726/5112
dc.language.isoeng
dc.publisherEmerald Publishing Limited
dc.titleThe effects of the global financial crisis on the colombian local currency bonds prices : an event studyeng
dc.typearticle
dc.rights.accessrightsinfo:eu-repo/semantics/restrictedAccess
dc.rights.localAcceso Restringido
dc.type.versioninfo:eu-repo/semantics/acceptedVersion
dc.identifier.instnameinstname:Colegio de Estudios Superiores de Administración – CESA
dc.identifier.reponamereponame:Biblioteca Digital – CESA
dc.identifier.repourlrepourl:https://repository.cesa.edu.co/
dc.description.abstractenglishPurpose The purpose of this paper is to perform an event study using high frequency data on peso-denominated Colombian government bonds to measure the effects of news during the global financial crisis (GFC). Design/methodology/approach Using standard event study methodology, the authors want to see if a surprise (originating from macroeconomic news and GFC events) has a significant effect on asset prices measurable as abnormal returns. The authors also assume that the US market acted as a transmission mechanism for the crisis in a standard market model framework and control for confounding effects from events that originated from the crisis by taking into account the effect of global, regional and local macroeconomic surprises in the period before, during and after the GFC. Findings The results show that there was resilience and decoupling of the Colombian local currency bond market from the events of the GFC. Research limitations/implications The results show that there was resilience (in terms of abnormal returns) and decoupling of the Colombian local currency bond market from the events of the GFC. The paper also finds that, on an average, Colombian bonds performed better during the period of the GFC than the period before and after the GFC. Practical implications In the event study using individual bonds the paper finds that, in most cases, negative news had a positive impact in Colombian bond prices during the GFC. Social implications These results have important policy implications in emerging markets economies in terms of the benefits of substituting foreign currency debt with local currency debt. Originality/value This paper provides a date and time-specific timeline (Table III) of the most significant GFC events and news. The paper finds that for all the periods under observation local news related to inflation had the greatest impact in bond prices. In the case of global and regional news, inflation and trade-related surprises had also significant effects on bond prices but to a lesser extent.eng
dc.type.coarhttp://purl.org/coar/resource_type/c_2df8fbb1
dc.relation.citationvolume43
dc.relation.citationissue4
dc.relation.citationstartpage624
dc.relation.citationendpage645
dc.contributor.orcidCayón Fallon, Edgardo [0000-0002-4113-5521]
dc.contributor.orcidSarmiento Sabogal, Julio Alejandro [0000-0001-5986-4813]
dc.type.driverinfo:eu-repo/semantics/article
dc.type.redcolhttp://purl.org/redcol/resource_type/ART
dc.type.coarversionhttp://purl.org/coar/version/c_71e4c1898caa6e32
dc.contributor.scopusCayón Fallon, Edgardo [56395390800]
dc.contributor.scopusSarmiento Sabogal, Julio Alejandro [57196465468]
dc.contributor.scopusShukla, Ravi K. [25028920900]
dc.description.orcidhttps://orcid.org/0000-0002-4113-5521
dc.description.orcidhttps://orcid.org/0000-0001-5986-4813
dc.description.scopushttps://www.scopus.com/authid/detail.uri?authorId=56395390800
dc.description.scopushttps://www.scopus.com/authid/detail.uri?authorId=57196465468
dc.description.scopushttps://www.scopus.com/authid/detail.uri?authorId=25028920900
dc.identifier.eissn1758-7387
dc.relation.ispartofjournalJournal of Economic Studies
dc.identifier.doihttps://doi.org/10.1108/JES-12-2014-0201
dc.subject.proposalEvent study
dc.subject.proposalGFC
dc.subject.proposalColombian bonds
dc.subject.proposalMacroeconomic surprises
dc.rights.coarhttp://vocabularies.coar-repositories.org/access_rights/c_16ec/


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