Financial autarchy as contagion prevention : the case of colombian pension funds

Regulations restricting investment by pension funds in high-risk and foreign assets may quarantine member accounts from contagious transmissions during financial crises. We analyze contagion from U.S. equity markets to emerging market autarchic assets (Colombian private pension funds) during the rec...

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Autores:
Cayón Fallon, Edgardo
Thorp, Susan
Tipo de recurso:
Article of investigation
Fecha de publicación:
2014
Institución:
Colegio de Estudios Superiores de Administración
Repositorio:
Repositorio CESA
Idioma:
eng
OAI Identifier:
oai:repository.cesa.edu.co:10726/5125
Acceso en línea:
http://hdl.handle.net/10726/5125
https://doi.org/10.2753/REE1540-496X5003S307
Palabra clave:
Emerging markets
Global financial crisis
Regulation
Sovereign debt crisis
Systematic risk
Rights
License
Acceso Restringido
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oai_identifier_str oai:repository.cesa.edu.co:10726/5125
network_acronym_str CESA2
network_name_str Repositorio CESA
repository_id_str
spelling Cayón Fallon, Edgardobe27db6c-c045-4b3d-983d-c71aa93d1fe8600Thorp, Susan5c2bae42-2459-45f8-8d7c-6ca401856c36600Cayón Fallon, Edgardo [0000-0002-4113-5521]Thorp, Susan [0000-0003-3462-0876]Cayón Fallon, Edgardo [56395390800]Thorp, Susan [8214890500]2023-06-21T22:23:11Z2023-06-21T22:23:11Z2014-12-051540-496Xhttp://hdl.handle.net/10726/5125instname:Colegio de Estudios Superiores de Administración – CESAreponame:Biblioteca Digital – CESArepourl:https://repository.cesa.edu.co/1558-0938https://doi.org/10.2753/REE1540-496X5003S307engRoutledgeFinancial autarchy as contagion prevention : the case of colombian pension fundsarticlehttp://purl.org/coar/resource_type/c_2df8fbb1http://purl.org/coar/resource_type/c_6501info:eu-repo/semantics/articlehttp://purl.org/redcol/resource_type/ARThttp://purl.org/coar/version/c_71e4c1898caa6e32Acceso Restringidohttp://vocabularies.coar-repositories.org/access_rights/c_16ec/http://purl.org/coar/access_right/c_16ecRegulations restricting investment by pension funds in high-risk and foreign assets may quarantine member accounts from contagious transmissions during financial crises. We analyze contagion from U.S. equity markets to emerging market autarchic assets (Colombian private pension funds) during the recent financial crises. We test for volatility contagion between financial asset returns using a multivariate GARCH (M-GARCH) framework, where the S&P 500 is the source of contagion to the autarchic asset. We find no evidence of volatility contagion during the 2007-9 crises, indicating protection due to regulated portfolio restrictions. However, there is evidence of contagion during the recent sovereign debt crisis.https://orcid.org/0000-0002-4113-5521https://orcid.org/0000-0003-3462-0876https://www.scopus.com/authid/detail.uri?authorId=56395390800https://www.scopus.com/authid/detail.uri?authorId=8214890500503122139Emerging Markets Finance and TradeEmerging marketsGlobal financial crisisRegulationSovereign debt crisisSystematic risk10726/5125oai:repository.cesa.edu.co:10726/51252023-09-29 10:14:32.764metadata only accessBiblioteca Digital - CESAbiblioteca@cesa.edu.co
dc.title.eng.fl_str_mv Financial autarchy as contagion prevention : the case of colombian pension funds
title Financial autarchy as contagion prevention : the case of colombian pension funds
spellingShingle Financial autarchy as contagion prevention : the case of colombian pension funds
Emerging markets
Global financial crisis
Regulation
Sovereign debt crisis
Systematic risk
title_short Financial autarchy as contagion prevention : the case of colombian pension funds
title_full Financial autarchy as contagion prevention : the case of colombian pension funds
title_fullStr Financial autarchy as contagion prevention : the case of colombian pension funds
title_full_unstemmed Financial autarchy as contagion prevention : the case of colombian pension funds
title_sort Financial autarchy as contagion prevention : the case of colombian pension funds
dc.creator.fl_str_mv Cayón Fallon, Edgardo
Thorp, Susan
dc.contributor.author.spa.fl_str_mv Cayón Fallon, Edgardo
Thorp, Susan
dc.contributor.orcid.none.fl_str_mv Cayón Fallon, Edgardo [0000-0002-4113-5521]
Thorp, Susan [0000-0003-3462-0876]
dc.contributor.scopus.none.fl_str_mv Cayón Fallon, Edgardo [56395390800]
Thorp, Susan [8214890500]
dc.subject.proposal.none.fl_str_mv Emerging markets
Global financial crisis
Regulation
Sovereign debt crisis
Systematic risk
topic Emerging markets
Global financial crisis
Regulation
Sovereign debt crisis
Systematic risk
description Regulations restricting investment by pension funds in high-risk and foreign assets may quarantine member accounts from contagious transmissions during financial crises. We analyze contagion from U.S. equity markets to emerging market autarchic assets (Colombian private pension funds) during the recent financial crises. We test for volatility contagion between financial asset returns using a multivariate GARCH (M-GARCH) framework, where the S&P 500 is the source of contagion to the autarchic asset. We find no evidence of volatility contagion during the 2007-9 crises, indicating protection due to regulated portfolio restrictions. However, there is evidence of contagion during the recent sovereign debt crisis.
publishDate 2014
dc.date.issued.none.fl_str_mv 2014-12-05
dc.date.accessioned.none.fl_str_mv 2023-06-21T22:23:11Z
dc.date.available.none.fl_str_mv 2023-06-21T22:23:11Z
dc.type.none.fl_str_mv article
dc.type.coar.fl_str_mv http://purl.org/coar/resource_type/c_6501
dc.type.coar.none.fl_str_mv http://purl.org/coar/resource_type/c_2df8fbb1
dc.type.driver.none.fl_str_mv info:eu-repo/semantics/article
dc.type.redcol.none.fl_str_mv http://purl.org/redcol/resource_type/ART
dc.type.coarversion.none.fl_str_mv http://purl.org/coar/version/c_71e4c1898caa6e32
format http://purl.org/coar/resource_type/c_2df8fbb1
dc.identifier.issn.none.fl_str_mv 1540-496X
dc.identifier.uri.none.fl_str_mv http://hdl.handle.net/10726/5125
dc.identifier.instname.none.fl_str_mv instname:Colegio de Estudios Superiores de Administración – CESA
dc.identifier.reponame.none.fl_str_mv reponame:Biblioteca Digital – CESA
dc.identifier.repourl.none.fl_str_mv repourl:https://repository.cesa.edu.co/
dc.identifier.eissn.none.fl_str_mv 1558-0938
dc.identifier.doi.none.fl_str_mv https://doi.org/10.2753/REE1540-496X5003S307
identifier_str_mv 1540-496X
instname:Colegio de Estudios Superiores de Administración – CESA
reponame:Biblioteca Digital – CESA
repourl:https://repository.cesa.edu.co/
1558-0938
url http://hdl.handle.net/10726/5125
https://doi.org/10.2753/REE1540-496X5003S307
dc.language.iso.none.fl_str_mv eng
language eng
dc.relation.citationvolume.none.fl_str_mv 50
dc.relation.citationissue.none.fl_str_mv 3
dc.relation.citationstartpage.none.fl_str_mv 122
dc.relation.citationendpage.none.fl_str_mv 139
dc.relation.ispartofjournal.none.fl_str_mv Emerging Markets Finance and Trade
dc.rights.coar.fl_str_mv http://purl.org/coar/access_right/c_16ec
dc.rights.local.none.fl_str_mv Acceso Restringido
dc.rights.coar.none.fl_str_mv http://vocabularies.coar-repositories.org/access_rights/c_16ec/
rights_invalid_str_mv Acceso Restringido
http://vocabularies.coar-repositories.org/access_rights/c_16ec/
http://purl.org/coar/access_right/c_16ec
dc.publisher.none.fl_str_mv Routledge
publisher.none.fl_str_mv Routledge
institution Colegio de Estudios Superiores de Administración
repository.name.fl_str_mv Biblioteca Digital - CESA
repository.mail.fl_str_mv biblioteca@cesa.edu.co
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