Volatility Contagion of Stock Returns of Microfinance Institutions in Emerging Markets: A DCC-M-GARCH Model
The objective of this paper is to analyze the contagion in the returns on the volatilities of the Microfinance Institutions (MFIs) that are listed in emerging stock markets in India, Indonesia, and Mexico. For this, local benchmarking variables and the global index-All Countries World Index (ACWI)-a...
| Autores: | , , |
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| Tipo de recurso: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2018 |
| País: | México |
| Institución: | Instituto Politécnico Nacional |
| Repositorio: | Redalyc-IPN |
| OAI Identifier: | oai:redalyc.org:423756176002 |
| Acceso en línea: | https://www.redalyc.org/articulo.oa?id=423756176002 https://www.redalyc.org/journal/4237/423756176002/ https://www.redalyc.org/journal/4237/423756176002/html/ https://www.redalyc.org/journal/4237/423756176002/423756176002.epub https://www.redalyc.org/journal/4237/423756176002/movil |
| Access Level: | acceso abierto |
| Palabra clave: | Economía y Finanzas GARCH and M GARCH models volatility of returns Microfinance institutions Dynamic Conditional Correlation (DCC) |
| Sumario: | The objective of this paper is to analyze the contagion in the returns on the volatilities of the Microfinance Institutions (MFIs) that are listed in emerging stock markets in India, Indonesia, and Mexico. For this, local benchmarking variables and the global index-All Countries World Index (ACWI)-are included in the analysis. The methodology used is a Dynamic Conditional Correlation (DCC) multivariable GARCH model. The empirical findings show that contagion effects only occur in periods of high volatility. One limitation of this research is that there are still few MFIs listed in stock markets, which does not allow for a broader study. The originality of this paper is the analysis of contagion in the returns of MFIs listed in stock markets. It is concluded that the performance of the analyzed MFIs is not affected by external effects of volatility, but rather for its fundamental results reflected in their level of liquidity in the stock market. |
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