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

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Date
2014-12-05
Author
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)
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Abstract
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
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  • Artículos y borradores de administración – Working papers [230]

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