INTERNATIONAL DEBT CRISES AND U.S.A. BANK STOCK RETURNS

Abstract

본 연구는 국제금융시장에서 멕시코 국제금융채무지불불능선언(1982.8.19)과 브라질 국제금융채무지불불능선언(1987.2.20)이 미국 상업은행의 시장가치에 미친 영향을 새로운 정보에 대한 시장효율성과 산업파급효과를 중심으로 하여 실증적으로 분석하였다. 대체로 미국은행의 주가는 멕시코와 브라질의 국제금융채무지불불능을 선언하기 이전에는 특별한 변동을 보이지 않았다. 그러나 브라?行굶弔? 경우에는 은행주가가 사전에 누설된 정보에 이미 적응하여 해당은행의 관련여부에 따른 차별적 반응을 보여 주었다. 또한 국제금융지불불능을 선언한 기간중에는 모든 은행주식이 전반적인 가격불균형을 보이는 산업파급효과가 발생하였다.

This study compares the information and investor contagion effects of the Mexican moratorium announcement of August 19, 1982 with those of the Brazilian moratorium announcement of February 20, 1987. It is found that there were significant negative effects on the share prices of U.S. banks as a result of the moratoria announcements by Mexico and Brazil. The size of the effect was larger in the case of Mexico. While there was no correction by the market prior to the Mexican announcement, there was some market adjustment prior to Brazil announcement. Weak contagion effects are also found during the two moratoria announcement periods when the market was irrational in pricing bank stocks. The contagion effect was stronger in the case of Mexico.

This study compares the information and investor contagion effects of the Mexican moratorium announcement of August 19, 1982 with those of the Brazilian moratorium announcement of February 20, 1987. It is found that there were significant negative effects on the share prices of U.S. banks as a result of the moratoria announcements by Mexico and Brazil. The size of the effect was larger in the case of Mexico. While there was no correction by the market prior to the Mexican announcement, there was some market adjustment prior to Brazil announcement. Weak contagion effects are also found during the two moratoria announcement periods when the market was irrational in pricing bank stocks. The contagion effect was stronger in the case of Mexico.