Impact of the change in the country risk rating on the prices of equity securities in the Latin American Integrated Market (MILA) Impacto del cambio de calificación de riesgo país en los precios de cotización de los activos de renta variable en el mercado integrado latinoamericano (MILA)

Abstract

The integration of the stock markets is given with the objective of creating com-mercial relations through agreements that seek the benefit of the countries. The Latin American Integrated Market (MILA) seeks to promote the development of the stock market in Peru, Chile, Colombia and Mexico and offer greater investment opportunities. These integrations allow investors to find different financial assets in which to invest their capital surplus from the expected return and the level of risk, that is when the country risk becomes an indicator for decision making, since risk rating agencies assess the conditions in an economy and their links with others. Therefore, the objective is to evaluate the impact of the change in the country risk rating on the prices of the equity investment assets of MILA in the period 2010-2017 in order to identify the existence of accumulated abnormal returns on the assets studied, using the event study methodology, using the accumulated abnormal return (CAR), in addition to linearity tests, through EGARCH models. The proposed methodology allowed us to know that there is no evidence of an impact on the prices of the shares of the companies belonging to MILA. However, the fact that there are not enough studies on the MILA and the investment opportunities that it offers, opens a frontier of possibilities to study the impact that the capital markets of these economies have.