English, Article edition: Stock market risk and dollarization in Ecuador Dennis W. Jansen; Maria Caridad Ortiz

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Bookmark: http://trove.nla.gov.au/version/50626
Physical Description
  • article
Language
  • English

Edition details

Title
  • Stock market risk and dollarization in Ecuador
Author
  • Dennis W. Jansen
  • Maria Caridad Ortiz
Physical Description
  • article
Notes
  • We study the impact of dollarization and related economic liberalization of Ecuador in January 2000 on the distribution of stock returns in Ecuador. While the mean dollar return of investing in Ecuadorian stocks changed from large and negative to large and positive, traditional measures of volatility such as the SD of returns actually increased after dollarization. However, focusing on the tails of the distribution and extreme events, we find that the tail thickness of the distribution of Ecuador stock returns increased for positive returns but decreased for negative returns. Thus, while the SD may have increased, it is because of a greater probability of large positive returns. The probability of large negative returns decreased post dollarization. Value at Risk estimates illustrates this phenomenon.
  • RePEc:taf:apfelt:v:3:y:2007:i:5:p:281-286
Language
  • English
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