Research Catalog

Financial derivatives introduction and stock return volatility in an emerging market without clearinghouse : the Mexican experience / Fausto Hernández-Trillo.

Title
Financial derivatives introduction and stock return volatility in an emerging market without clearinghouse : the Mexican experience / Fausto Hernández-Trillo.
Author
Hernández Trillo, Fausto.
Publication
México, D.F. : División de Estudios Internacionales, Centro de Investigación y Docencia Económicas, c1997.

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Details

Description
21 leaves : ill.; 28 cm.
Summary
"This paper introduces an alternative methodology to test whether financial derivatives introduction affects underlying stock return variance ... utilizing the GARCH process to generate time-series measure of stock return volatility ... to determine whether stock return variances change permanently when a financial derivative is introduced. We apply this methodology to the Mexican case ..."--Abstract, leaf 2.
Series Statement
Documento de trabajo / Centro de Investigación y Docencia Económicas ; núm. 79
Uniform Title
  • Documento de trabajo (Centro de Investigación y Docencia Económicas)
  • Documento de trabajo. Economía ; 79.
Subject
  • Derivative securities > Mexico
  • Mexican Stock Exchange
  • Stock exchanges > Mexico
  • Stocks > Prices > Mexico
Bibliography (note)
  • Includes bibliographical references (leaves 10-11).
Processing Action (note)
  • committed to retain
Owning Institutions
Harvard Library