USF St. Petersburg campus Faculty Publications
The valuation effects of the Mexican debt crisis: A re-examination.
Document Type
Article
Publication Date
1997
ISSN
0960-3107
Abstract
The valuation effects of the Mexican debt crisis are re-examined in a new way. Instead of concentrating upon the announcement of the Mexican debt moratorium, like some previous work, the valuation effects are investigated for eight major events that occurred over a period of two years, events which characterized the entire crisis. A multivariate regression model is applied to three portfolios of returns: high Mexican debt-exposure banks, low debt-exposure banks, and banks without less developed country (LDC) debt exposure. Significant wealth effects are observed for all three portfolios for various events. There is a significant increase (decrease) in the beta for the high exposure (no exposure) banks subsequent to the announcement of a debt-restructuring agreement between Mexico and its major creditor banks. Similar results are also observed for the residual variance, suggesting that the Mexican debt crisis may have contributed to changes in the risk of high-exposure, low-exposure and no-exposure banks.
Language
en_US
Publisher
Routledge
Recommended Citation
Sundaram, S., Mathur, I., & Chhachhi, I. (1997). The valuation effects of the Mexican debt crisis: A re-examination. Applied Financial Economics, 7, 97-106. doi: 10.1080/096031097333880
Creative Commons License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.
Comments
Citation only. Full-text article is available through licensed access provided by the publisher. Members of the USF System may access the full-text of the article through the authenticated link provided.