Stock market risk and dollarization in Ecuador Academic Article

abstract

• 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.

authors

• Jansen, Dennis

published proceedings

• Applied Economics Letters

author list (cited authors)

• Jansen, D. W., & Ortiz, M. C.

citation count

• 1

complete list of authors

• Jansen, Dennis W||Ortiz, Maria Caridad

publication date

• January 2007

publisher

• Taylor & Francis  Publisher

published in

• Applied Economics Letters  Journal

keywords

• Aging
• Behavioral And Social Science

Digital Object Identifier (DOI)

• 10.1080/17446540601057913

start page

• 281

end page

• 286

volume

• 3

issue

• 5

URL

• http://dx.doi.org/10.1080/17446540601057913