The effects of the global financial crisis on the colombian local currency bonds prices : an event study
Purpose The purpose of this paper is to perform an event study using high frequency data on peso-denominated Colombian government bonds to measure the effects of news during the global financial crisis (GFC). Design/methodology/approach Using standard event study methodology, the authors want to see...
- Autores:
-
Cayón Fallon, Edgardo
Sarmiento Sabogal, Julio Alejandro
Shukla, Ravi K.
- Tipo de recurso:
- Article of investigation
- Fecha de publicación:
- 2016
- Institución:
- Colegio de Estudios Superiores de Administración
- Repositorio:
- Repositorio CESA
- Idioma:
- eng
- OAI Identifier:
- oai:repository.cesa.edu.co:10726/5112
- Acceso en línea:
- http://hdl.handle.net/10726/5112
https://doi.org/10.1108/JES-12-2014-0201
- Palabra clave:
- Event study
GFC
Colombian bonds
Macroeconomic surprises
- Rights
- License
- Acceso Restringido
id |
CESA2_16901d098bdc9c726a0081926d0ecf26 |
---|---|
oai_identifier_str |
oai:repository.cesa.edu.co:10726/5112 |
network_acronym_str |
CESA2 |
network_name_str |
Repositorio CESA |
repository_id_str |
|
spelling |
Cayón Fallon, Edgardobe27db6c-c045-4b3d-983d-c71aa93d1fe8600Sarmiento Sabogal, Julio Alejandroc31ea8e4-9874-40e0-bf5e-f20c33c9c2a7600Shukla, Ravi K.359acd45-7a62-4b57-ba2e-a3f937cee77b600Cayón Fallon, Edgardo [0000-0002-4113-5521]Sarmiento Sabogal, Julio Alejandro [0000-0001-5986-4813]Cayón Fallon, Edgardo [56395390800]Sarmiento Sabogal, Julio Alejandro [57196465468]Shukla, Ravi K. [25028920900]2023-06-21T22:23:09Z2023-06-21T22:23:09Z2016-09-120144-3585http://hdl.handle.net/10726/5112instname:Colegio de Estudios Superiores de Administración – CESAreponame:Biblioteca Digital – CESArepourl:https://repository.cesa.edu.co/1758-7387https://doi.org/10.1108/JES-12-2014-0201engEmerald Publishing LimitedThe effects of the global financial crisis on the colombian local currency bonds prices : an event studyarticlehttp://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_16ecPurpose The purpose of this paper is to perform an event study using high frequency data on peso-denominated Colombian government bonds to measure the effects of news during the global financial crisis (GFC). Design/methodology/approach Using standard event study methodology, the authors want to see if a surprise (originating from macroeconomic news and GFC events) has a significant effect on asset prices measurable as abnormal returns. The authors also assume that the US market acted as a transmission mechanism for the crisis in a standard market model framework and control for confounding effects from events that originated from the crisis by taking into account the effect of global, regional and local macroeconomic surprises in the period before, during and after the GFC. Findings The results show that there was resilience and decoupling of the Colombian local currency bond market from the events of the GFC. Research limitations/implications The results show that there was resilience (in terms of abnormal returns) and decoupling of the Colombian local currency bond market from the events of the GFC. The paper also finds that, on an average, Colombian bonds performed better during the period of the GFC than the period before and after the GFC. Practical implications In the event study using individual bonds the paper finds that, in most cases, negative news had a positive impact in Colombian bond prices during the GFC. Social implications These results have important policy implications in emerging markets economies in terms of the benefits of substituting foreign currency debt with local currency debt. Originality/value This paper provides a date and time-specific timeline (Table III) of the most significant GFC events and news. The paper finds that for all the periods under observation local news related to inflation had the greatest impact in bond prices. In the case of global and regional news, inflation and trade-related surprises had also significant effects on bond prices but to a lesser extent.https://orcid.org/0000-0002-4113-5521https://orcid.org/0000-0001-5986-4813https://www.scopus.com/authid/detail.uri?authorId=56395390800https://www.scopus.com/authid/detail.uri?authorId=57196465468https://www.scopus.com/authid/detail.uri?authorId=25028920900434624645Journal of Economic StudiesEvent studyGFCColombian bondsMacroeconomic surprises10726/5112oai:repository.cesa.edu.co:10726/51122023-09-30 12:52:36.493metadata only accessBiblioteca Digital - CESAbiblioteca@cesa.edu.co |
dc.title.eng.fl_str_mv |
The effects of the global financial crisis on the colombian local currency bonds prices : an event study |
title |
The effects of the global financial crisis on the colombian local currency bonds prices : an event study |
spellingShingle |
The effects of the global financial crisis on the colombian local currency bonds prices : an event study Event study GFC Colombian bonds Macroeconomic surprises |
title_short |
The effects of the global financial crisis on the colombian local currency bonds prices : an event study |
title_full |
The effects of the global financial crisis on the colombian local currency bonds prices : an event study |
title_fullStr |
The effects of the global financial crisis on the colombian local currency bonds prices : an event study |
title_full_unstemmed |
The effects of the global financial crisis on the colombian local currency bonds prices : an event study |
title_sort |
The effects of the global financial crisis on the colombian local currency bonds prices : an event study |
dc.creator.fl_str_mv |
Cayón Fallon, Edgardo Sarmiento Sabogal, Julio Alejandro Shukla, Ravi K. |
dc.contributor.author.spa.fl_str_mv |
Cayón Fallon, Edgardo Sarmiento Sabogal, Julio Alejandro Shukla, Ravi K. |
dc.contributor.orcid.none.fl_str_mv |
Cayón Fallon, Edgardo [0000-0002-4113-5521] Sarmiento Sabogal, Julio Alejandro [0000-0001-5986-4813] |
dc.contributor.scopus.none.fl_str_mv |
Cayón Fallon, Edgardo [56395390800] Sarmiento Sabogal, Julio Alejandro [57196465468] Shukla, Ravi K. [25028920900] |
dc.subject.proposal.none.fl_str_mv |
Event study GFC Colombian bonds Macroeconomic surprises |
topic |
Event study GFC Colombian bonds Macroeconomic surprises |
description |
Purpose The purpose of this paper is to perform an event study using high frequency data on peso-denominated Colombian government bonds to measure the effects of news during the global financial crisis (GFC). Design/methodology/approach Using standard event study methodology, the authors want to see if a surprise (originating from macroeconomic news and GFC events) has a significant effect on asset prices measurable as abnormal returns. The authors also assume that the US market acted as a transmission mechanism for the crisis in a standard market model framework and control for confounding effects from events that originated from the crisis by taking into account the effect of global, regional and local macroeconomic surprises in the period before, during and after the GFC. Findings The results show that there was resilience and decoupling of the Colombian local currency bond market from the events of the GFC. Research limitations/implications The results show that there was resilience (in terms of abnormal returns) and decoupling of the Colombian local currency bond market from the events of the GFC. The paper also finds that, on an average, Colombian bonds performed better during the period of the GFC than the period before and after the GFC. Practical implications In the event study using individual bonds the paper finds that, in most cases, negative news had a positive impact in Colombian bond prices during the GFC. Social implications These results have important policy implications in emerging markets economies in terms of the benefits of substituting foreign currency debt with local currency debt. Originality/value This paper provides a date and time-specific timeline (Table III) of the most significant GFC events and news. The paper finds that for all the periods under observation local news related to inflation had the greatest impact in bond prices. In the case of global and regional news, inflation and trade-related surprises had also significant effects on bond prices but to a lesser extent. |
publishDate |
2016 |
dc.date.issued.none.fl_str_mv |
2016-09-12 |
dc.date.accessioned.none.fl_str_mv |
2023-06-21T22:23:09Z |
dc.date.available.none.fl_str_mv |
2023-06-21T22:23:09Z |
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 |
0144-3585 |
dc.identifier.uri.none.fl_str_mv |
http://hdl.handle.net/10726/5112 |
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 |
1758-7387 |
dc.identifier.doi.none.fl_str_mv |
https://doi.org/10.1108/JES-12-2014-0201 |
identifier_str_mv |
0144-3585 instname:Colegio de Estudios Superiores de Administración – CESA reponame:Biblioteca Digital – CESA repourl:https://repository.cesa.edu.co/ 1758-7387 |
url |
http://hdl.handle.net/10726/5112 https://doi.org/10.1108/JES-12-2014-0201 |
dc.language.iso.none.fl_str_mv |
eng |
language |
eng |
dc.relation.citationvolume.none.fl_str_mv |
43 |
dc.relation.citationissue.none.fl_str_mv |
4 |
dc.relation.citationstartpage.none.fl_str_mv |
624 |
dc.relation.citationendpage.none.fl_str_mv |
645 |
dc.relation.ispartofjournal.none.fl_str_mv |
Journal of Economic Studies |
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 |
Emerald Publishing Limited |
publisher.none.fl_str_mv |
Emerald Publishing Limited |
institution |
Colegio de Estudios Superiores de Administración |
repository.name.fl_str_mv |
Biblioteca Digital - CESA |
repository.mail.fl_str_mv |
biblioteca@cesa.edu.co |
_version_ |
1793339952032907264 |