Contagion Effects from the 1994 Mexican Peso Crisis: Evidence from Chilean Stocks

Autor:	Manohar Singh, Selahattin Dibooglu, Ike Mathur, Kimberly C. Gleason
Rok vydání:	2002
Předmět:	Economics and Econometrics Spillover effect Financial economics Economics Monetary economics Excess return Finance
Zdroj:	The Financial Review. 37:17-33
ISSN:	1540-6288 0732-8516
DOI:	10.1111/1540-6288.00002
Popis:	The contagion, or informational spillover, effects of the 1994 peso crisis from the Mexican market to the Chilean market, and to the Chilean American Depository Receipts (ADRs) trading in the U.S., are examined. Significant excess returns are observed for Chilean stocks for the event dates of the Mexican Peso crisis, providing evidence of contagion effects. Significant excess returns on these Chilean ADRs are also observed for each of the five event dates associated with the Peso crisis, suggesting that the contagion effects spilled over to the ADRs. A multiple regression model shows that the spillover contagion effects were very efficiently transmitted from the Mexican market to the Chilean market to the Chilean ADRs. Multifactor
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::e447781dc080d974b02f08ecbddd178d https://doi.org/10.1111/1540-6288.00002 Zobrazit plný text záznamu Plný text ve formátu PDF