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...

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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
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oai_identifier_str oai:repository.cesa.edu.co:10726/5112
network_acronym_str CESA2
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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
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