• español
    • English
  • Navegar
  • español 
    • español
    • English
  • Acceder
Ver ítem 
  •   Biblioteca Digital - CESA
  • Publicaciones e Investigación
  • Artículos y borradores de administración – Working papers
  • Ver ítem
  •   Biblioteca Digital - CESA
  • Publicaciones e Investigación
  • Artículos y borradores de administración – Working papers
  • Ver ítem
JavaScript is disabled for your browser. Some features of this site may not work without it.

Financial autarchy as contagion prevention : the case of colombian pension funds

Thumbnail
Fecha
2014-12-05
Autor
Cayón Fallon, Edgardo
Thorp, Susan

Citación

       
TY - GEN T1 - Financial autarchy as contagion prevention : the case of colombian pension funds UR - http://hdl.handle.net/10726/5125 PB - Routledge AB - ER - @misc{10726_5125, author = {Cayón Fallon Edgardo and Thorp Susan}, title = {Financial autarchy as contagion prevention : the case of colombian pension funds}, language = {eng}, orcid = {Cayón Fallon, Edgardo [0000-0002-4113-5521]}, orcid = {Thorp, Susan [0000-0003-3462-0876]}, scopus = {Cayón Fallon, Edgardo [56395390800]}, scopus = {Thorp, Susan [8214890500]}, year1 = {2023-06-21T22:23:11Z}, year2 = {2023-06-21T22:23:11Z}, abstract2 = {Regulations restricting investment by pension funds in high-risk and foreign assets may quarantine member accounts from contagious transmissions during financial crises. We analyze contagion from U.S. equity markets to emerging market autarchic assets (Colombian private pension funds) during the recent financial crises. We test for volatility contagion between financial asset returns using a multivariate GARCH (M-GARCH) framework, where the S&P 500 is the source of contagion to the autarchic asset. We find no evidence of volatility contagion during the 2007-9 crises, indicating protection due to regulated portfolio restrictions. However, there is evidence of contagion during the recent sovereign debt crisis.}, instname = {instname:Colegio de Estudios Superiores de Administración – CESA}, reponame = {reponame:Biblioteca Digital – CESA}, typedrive = {info:eu-repo/semantics/article}, url = {http://hdl.handle.net/10726/5125} }RT Generic T1 Financial autarchy as contagion prevention : the case of colombian pension funds LK http://hdl.handle.net/10726/5125 PB Routledge AB OL Spanish (121)
Gestores bibliográficos
Refworks
Zotero
BibTeX
CiteULike
Metadatos
Mostrar el registro completo del ítem
Resumen
Regulations restricting investment by pension funds in high-risk and foreign assets may quarantine member accounts from contagious transmissions during financial crises. We analyze contagion from U.S. equity markets to emerging market autarchic assets (Colombian private pension funds) during the recent financial crises. We test for volatility contagion between financial asset returns using a multivariate GARCH (M-GARCH) framework, where the S&P 500 is the source of contagion to the autarchic asset. We find no evidence of volatility contagion during the 2007-9 crises, indicating protection due to regulated portfolio restrictions. However, there is evidence of contagion during the recent sovereign debt crisis.
DOI
https://doi.org/10.2753/REE1540-496X5003S307
URI
http://hdl.handle.net/10726/5125
Colecciones
  • Artículos y borradores de administración – Working papers [230]

Listar

Todo el repositorioComunidades & ColeccionesPor fecha de publicaciónAutoresTítulosMateriasEsta colecciónPor fecha de publicaciónAutoresTítulosMaterias

Mi cuenta

AccederRegistro

 

Colegio de Estudios Superiores de Administración - CESACra. 6 N.º 34-51PBX: 339 53 00Bogotá, Colombia
ContactoGuías y tutoriales