haku: @indexterm METHODOLOGY / yhteensä: 1003
viite: 339 / 1003
| Tekijä: | Hernandez-Trillo, F. |
| Otsikko: | Financial derivatives introduction and stock return volatility in an emerging market without clearinghouse: The Mexican experience |
| Lehti: | Journal of Empirical Finance
1999 : APR, VOL. 6:2, p. 153-176 |
| Asiasana: | Methodology Finance Stock markets Mexico Latin America |
| Kieli: | eng |
| Tiivistelmä: | This paper introduces an alternative methodology to test whether financial derivative introduction affects underlying stock return variance. Test used consists in utilizing the Generalized Autoregressive Conditional Heteroskedastic (GARCH) process to generate time-series measure of stock return volatility. These series are used to determine whether stock return variances change permanently when a financial derivative is introduced. This alternative methodology is applied to the Mexican case. Empirical results suggest that derivatives introduction does not reduce Mexican stock return volatilities; this result holds even before the well-known Mexican financial crisis of 1994. |
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