Does US Interest Rate Sentiment Impact Latin American ETFs?

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The Anáhuac Journal
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Published: Jun 26, 2024
DOI: https://doi.org/10.36105/theanahuacjour.2024v24n1.04
Keywords:
sentiment, ETF, returns, interest rate, Latin America

Main Article Content

Humberto Valencia Herrera
EGADE Business School, Tecnológico de Monterrey, Mexico

Abstract

This article examines the dependence of Exchange Traded Fund (ETF) returns in six Latin American countries on interest rate and the Federal Reserve (FED) sentiment in the United States (US) news, during the period 2022 to 2023. For each country, robust regressions with zero to two lags for positive and negative sentiments, and previous returns were used. It was found that sentiment is statistically significant for some lags of ETF returns in Brazil, Chile, and Peru, in both, local currency and US dollar. The Latin American 40 ETF also depends on sentiment in US currency. Furthermore, a moment effect on returns in US currency and a mean reverting effect in local currency was identified.
A panel data model for the considered countries’ ETFs with random effects and zero to two lags in the change of sentiment shows that all considered changes in sentiment are statistically significant for returns, except for the change in positive sentiment without lags.

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How to Cite
Valencia Herrera, H. (2024). Does US Interest Rate Sentiment Impact Latin American ETFs?. The Anáhuac Journal, 24(1), Págs. 92–113. https://doi.org/10.36105/theanahuacjour.2024v24n1.04
Issue
Vol. 24 No. 1 (2024): The Anáhuac Journal, Vol. 24, num. 1, 2024, First Semester
Section
Artículos
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This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.

This work is licensed under a Creative Commons Atribución-NoComercial-CompartirIgual 4.0 Internacional.

 

Author Biography

Humberto Valencia Herrera, EGADE Business School, Tecnológico de Monterrey, Mexico

Dr. Humberto Valencia Herrera has an extensive career as a researcher, teacher, and professional in finance, economics, and management. He holds a PhD and a Master’s Degree in Economics and Decision Sciences from the Engineering Economic Systems Department, now part of the Management Science and Engineering Department at Stanford University, United States. He has been a finance, economics, management, and industrial engineering professor and researcher, and has collaborated with educational institutions in Mexico and the United States, such as the Tecnológico de Monterrey, the Universidad Iberoamericana, and Stanford University. He has numerous publications in  international and national academic journals. He is currently researching the use of artificial intelligence for investment decision-making, financial economics, energy economics, and technological development economics. He believes in the efficient and responsible management of businesses and economies, balancing environmental and social considerations with human needs.

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