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

dc.contributor.authorCayón Fallon, Edgardospa
dc.contributor.authorThorp, Susanspa
dc.date.accessioned2023-06-21T22:23:11Z
dc.date.available2023-06-21T22:23:11Z
dc.date.issued2014-12-05
dc.identifier.issn1540-496X
dc.identifier.urihttp://hdl.handle.net/10726/5125
dc.language.isoeng
dc.publisherRoutledge
dc.titleFinancial autarchy as contagion prevention : the case of colombian pension fundseng
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.abstractenglishRegulations 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.eng
dc.type.coarhttp://purl.org/coar/resource_type/c_2df8fbb1
dc.relation.citationvolume50
dc.relation.citationissue3
dc.relation.citationstartpage122
dc.relation.citationendpage139
dc.contributor.orcidCayón Fallon, Edgardo [0000-0002-4113-5521]
dc.contributor.orcidThorp, Susan [0000-0003-3462-0876]
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.scopusThorp, Susan [8214890500]
dc.description.orcidhttps://orcid.org/0000-0002-4113-5521
dc.description.orcidhttps://orcid.org/0000-0003-3462-0876
dc.description.scopushttps://www.scopus.com/authid/detail.uri?authorId=56395390800
dc.description.scopushttps://www.scopus.com/authid/detail.uri?authorId=8214890500
dc.identifier.eissn1558-0938
dc.relation.ispartofjournalEmerging Markets Finance and Trade
dc.identifier.doihttps://doi.org/10.2753/REE1540-496X5003S307
dc.subject.proposalEmerging markets
dc.subject.proposalGlobal financial crisis
dc.subject.proposalRegulation
dc.subject.proposalSovereign debt crisis
dc.subject.proposalSystematic risk
dc.rights.coarhttp://vocabularies.coar-repositories.org/access_rights/c_16ec/


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