Latin-American Stock Market Dynamics and Co-movement

Date

2018-10-19

Advisors

Journal Title

Journal ISSN

ISSN

Volume Title

Publisher

Wiley

Type

Article

Peer reviewed

Yes

Abstract

With the economic relevance of the relationships among emerging and frontier equity markets becoming increasingly significant, this paper investigates co-movement among returns from six Latin-American stock markets [Mexico (BMV), Brazil (BOVESPA), Chile (IPSA), Peru (IGBVL), Argentina (MERVAL), Venezuela (IBVC)] and also with the U.S. S&P 500 Composite index. In part, we employ Principal Component Analyses, to account for the maximum portion of the variance present in the returns by examining rolling windows with 8,6,4,3,2, and 1-year periods. We also investigate the incidence of structural breaks and co-movement, aiming to uncover the dynamics in co-movements among these markets. We find evidence of high co-movement among the Latin-American markets, and also with the U.S. markets. Venezuela and Mexico’s equity markets are at the extremes. However, our results do not corroborate findings of clear evidence, reported in previous studies, of the U.S. having a leading role in the region.

Description

The file attached to this record is the author's final peer reviewed version. The Publisher's final version can be found by following the DOI link.

Keywords

Co-movement, Correlation, Emerging and Frontier Stock Markets, Portfolio Diversification

Citation

Coleman, S., Leone, V. and De Medeiros, R.O. (2018) Latin-American Stock Market Dynamics and Co-movement. International Journal of Finance and Economics, 24 (3), pp. 1109-1129

Rights

Research Institute

Finance and Banking Research Group (FiBRe)