Volatility Spillovers among Global Stock Markets: Measuring Total and Directional Effects

Serie

• Borradores de economía

Resumen

• An audit study was conducted in Colombia following the protocols in Giné and Mazer (2017). Trained auditors visited multiple financial institutions, seeking credit and savings products. Consistent with Gabaix and Laibson (2006) and similar to Giné and Mazer (2017), the staff only provides information about the cost when asked, disclosing less than a third of the total cost voluntarily. In addition, clients are rarely offered the cheapest product, most likely because staff is incentivized to offer more expensive and thus more profitable products to the institution.

autores

• Gamba Santamaría, Santiago
• Gómez-González, José Eduardo
• Hurtado-Guarin, Jorge Luis
• Melo-Velandia, Luis Fernando

fecha de publicación

• 2017-01

Área temática

• C32 - Modelos de series temporales; Regresiones cuantiles dinámicas; Modelos dinámicos de tratamiento; procesos de difusión; representación de espacios de estados
• G01 - Crisis financiera
• G15 - Mercados financieros internacionales

Enfoque geográfico

• South America  Continent

Líneas de investigación

• DCC-GARCH Model
• Financial Crisis
• Global Stock Market Linkages
• Volatility Spillovers

Identificador de objeto digital (DOI)

• https://doi.org/10.32468/be.983

Issue

• 983