The Effects of contagion during the global financial crisis in government regulated And sponsored assets in emerging markets : the case of Colombian pension funds and State Owned Enterprises (SOEs) in BRIC countries

Cayon-Fallon, Edgardo

Date

2015

Author

@misc{10726_2434, author = {Cayon-Fallon Edgardo}, title = {The Effects of contagion during the global financial crisis in government regulated And sponsored assets in emerging markets : the case of Colombian pension funds and State Owned Enterprises (SOEs) in BRIC countries}, abstract = {However, one key difference between this crisis and other crises in the past was the resilience (immunity) or the short term effect of the crisis on emerging markets. Dooley and Hutchison (2009) were the first ones to find evidence in support of the decoupling hypothesis of emerging markets during the early phases of the crisis. Since then the hypothesis have been tested by other researchers (for recent surveys see: Beirne and Gieck, 2014; Koksal and Orhan, 2013).}, language = {eng}, keywords = {Crisis financiera}, keywords = {País en desarrollo - Colombia}, keywords = {Riesgo - Finanzas}, keywords = {Empresas - Toma de decisiones - Colombia}, orcid = {Cayon-Fallon, Edgardo [0000-0002-4113-5521]}, scopus = {Cayon-Fallon, Edgardo [56395390800]}, year1 = {2022-02-06T16:50:23Z}, year2 = {2020-02-06T16:50:23Z}, extent = {103 páginas}, mimetype = {application/pdf}, ddc = {332.456 / C318e}, references = {Acharya, V. V., and Franks, J. (2009). Guarantees: a double-edged sword. Banker, 8-8.;Agosin, M. R., and Huaita, F. (2011). Capital Flows to Emerging Economies: Minsky in the Tropics. Cambridge Journal of Economics, 35(4), 663-683.;AIOS. (2011, 10 20). Estadisticas: AIOS. AIOS. Retrieved from [http://www.aiosfp.org/].;Arrau, P., and Schmidt-Hebbel, K. (1995). Pensions systems and reform : country experiences and research issues (P. R. Department, Trans.) Policy Research Working Paper (Vol. 1): World Bank.;Asofondos. (2011, 09 8). Centro de informacion consolidada Asofondos. Retrieved from [http:// www.asofondos.org.co/VBeContent/home.asp], and [https://cica.heinsohn.com.co/cica/PaginasPublicas/ConsultasPublicas.aspx].;Bagliano, F. C., and Morana, C. (2012). The Great Recession: US dynamics and spillovers to the world economy. Journal of Banking and Finance, 36(1), 1-13.;Baur, D. G. (2013). The structure and degree of dependence: A quantile regression approach. Journal of Banking & Finance, 37(3), 786-798.;Beirne, J., et al. (2008). Volatility Spillovers and Contagion from Mature to Emerging Stock Markets. International Monetary Fund, IMF Working Papers: 08/286. Retrieved from[http://www.imf.org/external/pubs/ft/wp/2008/wp08286.pdf].;Beirne, J., and Gieck, J. (2014). Interdependence and Contagion in Global Asset Markets. Review of International Economics, 22(4), 639-659.;Bekaert, G., et al. (2011). Global Crises and Equity Market Contagion Working Paper Series: National Bureau of Economic Research.;Bekaert, G., and Harvey, C. R. (1995). Time-Varying World Market Integration. Journal of Finance, 50(2), 403-444.;Bekaert, G., et al. (2011). What Segments Equity Markets? Review of Financial Studies, 24(12), 3841-3890.;Bekaert, G., et al. (2005). Market Integration and Contagion. Journal of Business, 78(1), 32-69.;Bloomberg. Bloomberg/EEFAS Bond Indices. 2012. Retrieved from [http://www.bloomberg.com/quote/EU15TR:ind].;Borisova, G., and Megginson, W. L. (2011). Does Government Ownership Affect the Cost of Debt? Evidence from Privatization. The Review of Financial Studies, 24(8), 2693-2737.;Bortolotti, B., et al. (2004). Privatisation around the world: evidence from panel data. Journal of Public Economics, 88(1–2), 305-332.;Bortolotti, B., and Perotti, E. (2007). From Government to Regulatory Governance: Privatization and the Residual Role of the State. World Bank Research Observer, 22(1), 53-66.;Boubakri, N., and Cosset, J.-C. (1998). The Financial and Operating Performance of Newly Privatized Firms: Evidence from Developing Countries. Journal of Finance, 53(3), 1081-1110.;Boyer, B. H., et al. (2006). How Do Crises Spread? Evidence from Accessible and Inaccessible Stock Indices. Journal of Finance, 61(2), 957-1003.;Calvo, S., and Reinhart, C. M. (1999). Capital Flows to Latin America: Is There Evidence of Contagion Effects? The World Bank, Policy Research Working Paper Series: 1619. Retrieved from [http://econ.worldbank.org/files/13465_wps1619.pdf].;Carhart, M. M. (1997). On Persistence in Mutual Fund Performance. Journal of Finance, 52(1), 57-82;Chen, G., et al. (2009). Does the Type of Ownership Control Matter? Evidence from China’s Listed Companies. Journal of Banking and Finance, 33(1), 171-181.;Chiang, T. C., et al. (2007). Dynamic correlation analysis of financial contagion: Evidence from Asian markets. Journal of International Money & Finance, 26(7), 1206-1228.;D’Souza, J., and Megginson, W. L. (1999). The Financial and Operating Performance of Privatized Firms During the 1990s. Journal of Finance, 54(4), 1397-1438.;Daniel, K., et al. (2012). Tail Risk in Momentum Strategy Returns. Columbia University.;Davis, P. (2001). Portfolio regulation of life insurance companies and pension funds. OECD. London. Retrieved from [http://www.oecd.org/insurance/privatepensions/2401884.pdf].;Dewenter, K. L., and Malatesta, P. H. (2001). State-Owned and Privately Owned Firms: An Empirical Analysis of Profitability, Leverage, and Labor Intensity. American Economic Review, 91(1), 320-334.;Dinç, I. S. (2005). Politicians and banks: Political influences on government-owned banks in emerging markets. Journal of Financial Economics, 77(2), 453-479.;Dinc, I. S., and Gupta, N. (2011). The Decision to Privatize: Finance and Politics. Journal of Finance, 66(1), 241-269.;Dooley, M., and Hutchison, M. (2009). Transmission of the U.S. subprime crisis to emerging markets: Evidence on the decoupling–recoupling hypothesis. Journal of International Money and Finance, 28(8), 1331-1349.;Dufrénot, G., et al. (2011). The effects of the subprime crisis on the Latin American financial markets: An empirical assessment. Economic Modelling, 28(5), 2342-2357.;Dungey, M., et al. (2005). Empirical Modelling of Contagion: A Review of Methodologies. Quantitative Finance, 5(1), 9-24.;Dungey, M., et al. (2010). Unobservable Shocks as Carriers of Contagion. Journal of Banking and Finance, 34(5), 1008-1021.;Edwards, S. (1998). Interest Rate Volatility, Capital Controls, and Contagion. National Bureau of Economic Research, Inc, NBER Working Papers: 6756. Retrieved from [http://www.nber.org/papers/w6756.pdf].;Engle, R. (2002). Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business & Economic Statistics, 20(3), 339-350.;Estrin, S., et al. (2009). The Effects of Privatization and Ownership in Transition Economies. Journal of Economic Literature, 47(3), 699-728.;Faccio, M. (2010). Differences between Politically Connected and Nonconnected Firms: A Cross-Country Analysis. Financial Management (Blackwell Publishing Limited), 39(3), 905-928.;Faccio, M., et al. (2006). Political Connections and Corporate Bailouts. Journal of Finance, 61(6), 2597-2635.;Fama, E. F. (1980). Agency Problems and the Theory of the Firm. Journal of Political Economy, 88(2), 288-307.;Fama, E. F., and French, K. R. (1993). Common Risk Factors in the Returns on Stock and Bonds. Journal of Financial Economics, 33(1), 3-56.;Fama, E. F., and French, K. R. (1998). Value versus Growth: The International Evidence. Journal of Finance, 53(6), 1975-1999.;Fazio, G. (2007). Extreme Interdependence and Extreme Contagion between Emerging Markets. Journal of International Money and Finance, 26(8), 1261-1291.;FEDNewYork. (2011). Financial Turmoil Timeline Acrobat Reader. New York.;Felices, G., and Wieladek, T. (2012). Are emerging market indicators of vulnerability to financial crises decoupling from global factors? Journal of Banking and Finance, 36(2), 321-331.;Finnerty, J. D., et al. (2011). Regulatory Uncertainty and Financial Contagion: Evidence from the Hybrid Capital Securities Market. Financial Review, 46(1), 1-42.;Firth, M., et al. (2010). Friend or Foe? The Role of State and Mutual Fund Ownership in the Split Share Structure Reform in China. Journal of Financial & Quantitative Analysis, 45(3), 685-706;Forbes, K. J., and Rigobon, R. (2002). No Contagion, Only Interdependence: Measuring Stock Market Comovements. Journal of Finance, 57(5), 2223-2261.;Frank, N., and Hesse, H. (2009). Financial Spillovers to Emerging Markets during the Global Financial Crisis. Finance a Uver/Czech Journal of Economics and Finance, 59(6), 507-521.;Fujii, E. (2005). Intra and Inter-regional Causal Linkages of Emerging Stock Markets: Evidence from Asia and Latin America in and Out of Crises. Journal of International Financial Markets, Institutions and Money, 15(4), 315-342.;Glosten, L. R., et al. (1993). On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks. The Journal of Finance, 48(5), 1779-1801.;Gupta, N. (2005). Partial Privatization and Firm Performance. Journal of Finance, 60(2), 987-1015.;Gutierrez, C., and Gaglianone, W. P. (2008). Evaluating Asset Pricing Models in a Fama-French Framework. Working Paper Series. Central Bank of Brazil, Research Department.;Hamao, Y., et al. (1990). Correlations in Price Changes and Volatility across International Stock Markets. Review of Financial Studies, 3(2), 281-307.;Hart, O., et al. (1997). The Proper Scope of Government: Theory and an Application to Prisons. Quarterly Journal of Economics, 112(4), 1127-1161.;He, T., et al. (2012). Dividends Behavior in State- Versus Family-Controlled Firms: Evidence from Hong Kong. Journal of Business Ethics, 110(1), 97-112.;Holmstrom, B., and Tirole, J. (1993). Market Liquidity and Performance Monitoring. Journal of Political Economy, 101(4), 678-709.;Holzmann, R., et al. (2008). Pension Systems and Reform Conceptual Framework. World Bank, SP Discussion Paper Retrieved from [http://web.worldbank.org/wbsite/external/topics/extsocialprotection/0,contentmdk:20222254~menuPK:282656~pagePK:148956~piPK:216618~theSitePK:282637~isCURL:Y,00.html].;Hong, H., and Kacperczyk, M. (2009). The price of sin: The effects of social norms on markets. Journal of Financial Economics, 93(1), 15-36.;Hossain, M., et al. (2013). State ownership and bank equity in the Asia-Pacific region. PacificBasin Finance Journal, 21(1), 914-931.;Impavido, G., and Tower, I. (2009). How the Financial Crisis Affects Pensions and Insurance and Why the Impacts Matter. International Monetary Fund, IMF Working Papers: 09/151. Retrieved from [http://www.imf.org/external/pubs/ft/wp/2009/wp09151.pdf];JPMorgan. (1999). Introducing the J.P Morgan Emerging Market Bond Index Global (EMBI Global). 2012. Retrieved from [http://faculty.darden.virginia.edu/liw/emf/embi.pdf].;Kallberg, J. G., et al. (2005). An Examination of the Asian Crisis: Regime Shifts in Currency and Equity Markets. Journal of Business, 78(1), 169-211.;Kaminsky, G. L., and Reinhart, C. M. (1999). The Twin Crises: The Causes of Banking and Balance-of-Payments Problems. American Economic Review, 89(3), 473-500.;Knyazeva, A., et al. (2009). Ownership changes and access to external financing. Journal of Banking & Finance, 33(10), 1804-1816.;Koenker, R., and Bassett Jr, G. (1978). Regression Quantiles. Econometrica, 46(1), 33-50.;Koenker, R., and Xiao, Z. (2006). Quantile Autoregression. Journal of the American Statistical Association, 101(475), 980-990.;Köksal, B., and Orhan, M. (2013). Market Risk of Developed and Emerging Countries During the Global Financial Crisis. Emerging Markets Finance & Trade, 49(3), 20-34.;Korkmaz, T., et al. (2012). Return and volatility spillovers among CIVETS stock markets. Emerging Markets Review, 13(2), 230-252.;La Porta, R., and López-de-Silanes, F. (1999). The Benefits of Privatization: Evidence from Mexico. Quarterly Journal of Economics, 114(4), 1193-1242;La Porta, R., et al. (2002). Government Ownership of Banks. Journal of Finance, 57(1), 265-301.;Li, K., et al. (2011). Privatization and Risk Sharing: Evidence from the Split Share Structure Reform in China. The Review of Financial Studies, 24(7), 2499-2525.;Liu, Q., and Siu, A. (2011). Institutions and Corporate Investment: Evidence from InvestmentImplied Return on Capital in China. The Journal of Financial and Quantitative Analysis, 46(6), 1831-1863.;Longin, F., and Solnik, B. (1995). Is the Correlation in International Equity Returns Constant: 1960-1990? Journal of International Money and Finance, 14(1), 3-26.;McGuinness, P. B. (2012). The Role of ‘Cornerstone’ Investors and the Chinese State in the Relative Underpricing of State- and Privately Controlled IPO Firms. Applied Financial Economics, 22(16-18), 1529-1551.;Megginson, W. L., et al. (2004). The Choice of Private versus Public Capital Markets: Evidence from Privatizations. The Journal of Finance, 59(6), 2835-2870;Megginson, W. L., et al. (1994). The Financial and Operating Performance of Newly Privatized Firms: An International Empirical Analysis. Journal of Finance, 49(2), 403-452.;MSCI. (2011). Index definitions. Retrived from [http://www.msci.com/products/indices/tools/ index.html#EM].;Nguyen, T. T., and van Dijk, M. A. (2012). Corruption, growth, and governance: Private vs. state-owned firms in Vietnam. Journal of Banking & Finance, 36(11), 2935-2948.;Ocampo, J. A. (2009). Latin America and the global financial crisis. Cambridge Journal of Economics, 33(4), 703-724.;OECD. (2011, 10 20). OECD. StatExtracts. Retrieved from [http://stats.oecd.org/index.aspx];Pericoli, M., and Sbracia, M. (2003). A Primer on Financial Contagion. Journal of Economic Surveys, 17(4), 571-608.;Pesaran, B., and Pesaran, M. H. (2010). Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market Crash. Cesifo Working Paper No. 3023.;Ping, W., and Moore, T. (2008). Stock Market Integration for the Transition Economies: TimeVarying Conditional Correlation Approach. Manchester School (14636786), 76, 116-133;Pino, A., and Yermo, J. (2010). The impact of the 2007-2009 crisis on social security and private pension funds: A threat to their financial soundness? International Social Security Review, 63(2), 5-30.;Powell, A. P., and Martinez S., J. F. (2008). On Emerging Economy Sovereign Spreads and Ratings. SSRN eLibrary;Reinhart, C. M., and Rogoff, K. S. (2008). This Time is Different: A Panoramic View of Eight Centuries of Financial Crises. SSRN eLibrary.;Rodriguez, J. C. (2007). Measuring financial contagion: A Copula approach. Journal of Empirical Finance, 14(3), 401-423.;Sappington, D. E. M., and Stiglitz, J. E. (1987). Privatization, Information and Incentives. Journal of Policy Analysis & Management, 6(4), 567-582.;Shapiro, C., and Willing, D. R. (1990). Economic Rationales for the Scope of Privatization. In E. N. Suleiman & J. Waterbury (Eds.), Political economy of public sector reform and privatization (pp. 55-87). Boulder: Westview Press.;Shleifer, A. (1998). State versus Private Ownership. Journal of Economic Perspectives, 12(4), 133-150.;Shleifer, A., and Vishny, R. W. (1994). Politicians and Firms. Quarterly Journal of Economics, 109(4), 995-1025.;Subrahmanyam, A., and Titman, S. (1999). The Going-Public Decision and the Development of Financial Markets. Journal of Finance, 54(3), 1045-1082.;Superfinanciera. (2003, 08). Histórico de Circulares Superintendencia Bancaria de Colombia. Circulares externas 2003. from [http://www.superfinanciera.gov.co/].;Superfinanciera. (2011). Pensiones, Cesantias y Fiduciarias. Portafolio de Inversión - Fondos de Pensiones Obligatorias - Conservador. Retrieved 11/28, 2011, from http://www.superfinanciera.gov.co/;TheCityUK. (2011). Fund Management. Retrieved 02/07/2010, 2012. Retrieved from [http://www.thecityuk.com/assets/Uploads/FundManagement-2011.pdf].;UNCTAD. (2012). World Investment Report (pp. 204). New York: United Nations.;Wang, P., and Moore, T. (2012). The integration of the credit default swap markets during the US subprime crisis: Dynamic correlation analysis. Journal of International Financial Markets, Institutions and Money, 22(1), 1-15.;}, typedrive = {info:eu-repo/semantics/book}, typelocal = {Libro de investigación}, url = {http://hdl.handle.net/10726/2434} }

Gestores bibliográficos

Refworks

Zotero

BibTeX

CiteULike

Metadata

Show full item record

Documents PDF

Abstract

However, one key difference between this crisis and other crises in the past was the resilience (immunity) or the short term effect of the crisis on emerging markets. Dooley and Hutchison (2009) were the first ones to find evidence in support of the decoupling hypothesis of emerging markets during the early phases of the crisis. Since then the hypothesis have been tested by other researchers (for recent surveys see: Beirne and Gieck, 2014; Koksal and Orhan, 2013).