Leovardo Mata and José Antonio Núñez Mora
The purpose of this paper is to analyze the dependence between the Chinese and Market Integrated Latin America (MILA) stock markets.
Abstract
Purpose
The purpose of this paper is to analyze the dependence between the Chinese and Market Integrated Latin America (MILA) stock markets.
Design/methodology/approach
The authors adjust the multivariate probability distribution Variance Gamma (VG) on data yields from the Hang Seng Index (HSI) and MILA and they use the estimated parameters under VG to find a robust estimator of the correlation matrix yields.
Findings
The degree of dependence between stock indices from China, Peru, Mexico, Colombia and Chile. In addition, the impact of the change in the HSI affects mostly the movements of the selective stock price index (IPSA) and equally affects the index of the Mexican stock exchange (IPC) and Lima Stock Exchange (S&P/BVL). The effect on index of the Colombia Stock Exchange (COLCAP) is not significant.
Research limitations/implications
Over time there are different structural changes so the time has been restricted to the years 2000-2015, but could extend the analysis to other time periods and sectors of listed companies in the indices.
Practical implications
The results can guide policy makers to assess the effect of a random crash on stock markets and measure the level of risk from other markets.
Social implications
The results can generate a greater understanding of the relationship between the stock markets of China and the emerging countries of Latin America.
Originality/value
The value of this paper is to focus on alternative methodology to calculate the correlation matrix yields and measure the dependence between the Chinese and MILA stock markets.
Details
Keywords
Ramona Serrano Bautista and José Antonio Núñez Mora
This paper tests the accuracies of the models that predict the Value-at-Risk (VaR) for the Market Integrated Latin America (MILA) and Association of Southeast Asian Nations…
Abstract
Purpose
This paper tests the accuracies of the models that predict the Value-at-Risk (VaR) for the Market Integrated Latin America (MILA) and Association of Southeast Asian Nations (ASEAN) emerging stock markets during crisis periods.
Design/methodology/approach
Many VaR estimation models have been presented in the literature. In this paper, the VaR is estimated using the Generalized Autoregressive Conditional Heteroskedasticity, EGARCH and GJR-GARCH models under normal, skewed-normal, Student-t and skewed-Student-t distributional assumptions and compared with the predictive performance of the Conditional Autoregressive Value-at-Risk (CaViaR) considering the four alternative specifications proposed by Engle and Manganelli (2004).
Findings
The results support the robustness of the CaViaR model in out-sample VaR forecasting for the MILA and ASEAN-5 emerging stock markets in crisis periods. This evidence is based on the results of the backtesting approach that analyzed the predictive performance of the models according to their accuracy.
Originality/value
An important issue in market risk is the inaccurate estimation of risk since different VaR models lead to different risk measures, which means that there is not yet an accepted method for all situations and markets. In particular, quantifying and forecasting the risk for the MILA and ASEAN-5 stock markets is crucial for evaluating global market risk since the MILA is the biggest stock exchange in Latin America and the ASEAN region accounted for 11% of the total global foreign direct investment inflows in 2014. Furthermore, according to the Asian Development Bank, this region is projected to average 7% annual growth by 2025.
Juan Carlos López Díez and Juan Velez-Ocampo
This chapter is intended to present the onset, evolution, and decline of Compañía Minera El Zancudo, considered the largest Colombian company in the nineteenth century…
Abstract
Purpose
This chapter is intended to present the onset, evolution, and decline of Compañía Minera El Zancudo, considered the largest Colombian company in the nineteenth century. Additionally, the chapter will examine its role in both the development of manufacturing industries and the introduction of modern capitalism in the country.
Methodology/approach
The case is based on secondary information collected according to a documentary research method in which the authors selected, categorized, interpreted, and confronted different sources concerning El Zancudo.
Findings
The inception and evolution of El Zancudo involved local and foreign knowledge, techniques, and capital investments that contributed to the company growing to the point of reaching the unprecedented figure of 1,350 workers in the year 1890. Its transition from a failed local mine to a prosperous and intricate business group is full of referrals and links to foreign investment, knowledge transfer, industrial development, and an orientation toward entrepreneurship that contributed to the understanding of subsequent enterprises not only in the Antioquia region but also across the entire country.
Research limitations/implications
This case study was written using limited reliable secondary sources about El Zancudo. Other significant Colombian companies in the nineteenth century (Ferrería de Pacho, Ferrería de Amagá, Empresa Textilera de Samacá, and Cervecería Bavaria) and their links to El Zancudo were mentioned but not deeply analyzed in this chapter.
Practical implications
The clear-cut causes that led El Zacudo to close its operations within the first decades of the twentieth century are worthy of discussion, not only by scholars and business practitioners, but also by policy makers in order to understand the phenomenon and possibly prevent existing companies from failing in a similar manner.
Originality/value
This case brings together the scattered literature on El Zancudo and analyzes the drivers and consequences of both its rise and fall, taking into consideration the specific historical, political, and economic contexts, furthermore, it establishes some linkages between this case and other companies under similar situations.