Stock Market Co-Movement in Latin America
| dc.cclicence | N/A | en |
| dc.contributor.author | Leone, Vitor | en |
| dc.contributor.author | Ribeiro de Medeiros, Otavio | en |
| dc.date.acceptance | 2015-03 | en |
| dc.date.accessioned | 2017-03-06T16:18:36Z | |
| dc.date.available | 2017-03-06T16:18:36Z | |
| dc.date.issued | 2015-07-23 | |
| dc.description.abstract | This paper investigates co-movement in eight Latin-American stock markets (Argentina, Brazil, Chile, Colombia, Ecuador, Mexico, Peru, and Venezuela) using common factor analysis. The common factors are obtained using principal component analysis (PCA) and therefore account for the maximum portion of the variance present in the stock exchanges investigated. We test for co-movement in different periods so as to ascertain any changes that have taken place from one period to the next. In particular, we examine rolling windows with 5-year, 3-year, 2-year, and 1-year periods. We also specify and estimate a vector autoregressive model and test for co-movement between the eight markets during the sample period by means of impulse response functions. The results of both methods suggest no convergence between (co-movement) the exchanges over the entire sample period. However, we find evidence of an increasing co-movement from 2002 to 2008, which implies a growing integration between these markets. However, the trend towards increasing integration between the stock markets seems to have suffered a setback in 2008 due to the world financial crisis. Since then, a possible resume to the trend of increasing integration is unclear. The impulse response analysis shows that Argentina, Brazil, Chile, Colombia, Mexico and Peru present moderate response to shocks in each other’s markets and very low responses to shocks in Ecuador and Venezuela’s markets. Also, responses of Ecuador and Venezuela’s market returns to shocks in the other markets are very low. | en |
| dc.funder | N/A | en |
| dc.identifier.citation | Leone, V. and Ribeiro de Medeiros, O. (2015) Stock Market Co-Movement in Latin America. Proceedings of 7th Annual American Business Research Conference | en |
| dc.identifier.isbn | 9781922069795 | |
| dc.identifier.uri | http://hdl.handle.net/2086/13426 | |
| dc.language.iso | en | en |
| dc.peerreviewed | Yes | en |
| dc.projectid | N/A | en |
| dc.researchgroup | FiBRe | en |
| dc.researchinstitute | Finance and Banking Research Group (FiBRe) | en |
| dc.title | Stock Market Co-Movement in Latin America | en |
| dc.type | Conference | en |
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