The Impact of the Global Financial Crisis on the Efficiency and Performance of Latin American Stock Markets

Estudios de Economía. Vol. 46 - Nº 1, Junio 2019.

26 Pages Posted: 11 Jun 2019

See all articles by Zhenzhen Zhu

Zhenzhen Zhu

Shandong University of Finance and Economics

Zhidong Bai

Northeast Normal University

João Paulo Vieito

Scholl of Business Studies - Polytechnic Instituto of Viana do Castelo

Wing‐Keung Wong

Hong Kong Baptist University (HKBU)

Multiple version iconThere are 2 versions of this paper

Date Written: May 24, 2019

Abstract

We analyze the impact of the most recent global financial crisis (GFC) on the seven most important Latin American stock markets. Our mean-variance analysis shows that the markets are significantly less volatile and, in general, investors prefer to invest in the post-GFC period. Our results from the Hurst exponent and runs and variance-ratio tests show that the randomness and efficiency have been improved after the GFC. The stochastic dominance test shows that the markets are efficient, there is no arbitrage opportunity due to the GFC in our studying period, and, in general, investors prefer investing in the post-GFC period. The results confirm that the 2008 global financial crisis does have some positive impacts on Latin American stock markets. Our findings provide impor-tant information for investors and market regulators in their decision making in investment and setting regulations.

Keywords: Latin American Stock Markets, Randomness, Market Efficiency, Stochastic Dominance

JEL Classification: G14, G15

Suggested Citation

Zhu, Zhenzhen and Bai, Zhidong and Vieito, João Paulo and Wong, Wing‐Keung, The Impact of the Global Financial Crisis on the Efficiency and Performance of Latin American Stock Markets (May 24, 2019). Estudios de Economía. Vol. 46 - Nº 1, Junio 2019.. Available at SSRN: https://ssrn.com/abstract=3393671

Zhenzhen Zhu (Contact Author)

Shandong University of Finance and Economics

Erhuan East Road 7366
Jinan, Shandong 250014
China

Zhidong Bai

Northeast Normal University ( email )

Changchun
China

João Paulo Vieito

Scholl of Business Studies - Polytechnic Instituto of Viana do Castelo ( email )

Avenida Miguel Dantas
Valença, 4930
Portugal

Wing‐Keung Wong

Hong Kong Baptist University (HKBU)

Kowloon
Hong Kong

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