ORCID Profile
0000-0001-5986-4813
Current Organisation
Pontificia Universidad Javeriana
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Publisher: Elsevier BV
Date: 12-2019
Publisher: LLC CPC Business Perspectives
Date: 24-11-2021
DOI: 10.21511/IMFI.18(4).2021.19
Abstract: In times of exogenous systemic shocks, such as the COVID-19 pandemic, it is important to identify hedge or safe haven assets. Therefore, this paper analyzes changes in the idiosyncratic risk of Bitcoin in a portfolio of commodities and global stocks. For this purpose, the M-GARCH model employed considers the interdependence among all the portfolio assets by using a time-varying asset pricing framework. This framework measures the impact of commodities and global stock prices as sources of systemic risk for Bitcoin returns before and after the COVID-19 pandemic. The evidence suggests that during the COVID-19 pandemic, the effects of changes in commodities and global prices on the idiosyncratic risk of Bitcoin were statistically significant. The idiosyncratic risk of Bitcoin measured as a percentage of total variance not accounted for by the proposed model rose from 86.06% to 95.05% during the pandemic. These results are in line with previous studies regarding the properties of Bitcoin as a hedge or safe haven asset for a portfolio composed of commodities and global stocks.
Publisher: Emerald
Date: 12-09-2016
Abstract: 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). 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. The results show that there was resilience and decoupling of the Colombian local currency bond market from the events of the GFC. 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. In the event study using in idual bonds the paper finds that, in most cases, negative news had a positive impact in Colombian bond prices during the GFC. These results have important policy implications in emerging markets economies in terms of the benefits of substituting foreign currency debt with local currency debt. 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.
Publisher: Universidad Icesi
Date: 10-2009
Publisher: Elsevier BV
Date: 2008
DOI: 10.2139/SSRN.1132763
Publisher: Elsevier BV
Date: 11-2014
Publisher: Springer Science and Business Media LLC
Date: 13-03-2021
Publisher: Informa UK Limited
Date: 22-10-2014
Publisher: Elsevier BV
Date: 2009
DOI: 10.2139/SSRN.1457383
Publisher: Elsevier BV
Date: 2003
DOI: 10.2139/SSRN.478718
Publisher: Elsevier BV
Date: 2008
DOI: 10.2139/SSRN.1289285
No related grants have been discovered for Julio Sarmiento-Sabogal.