Latin-American Stock Market Dynamics and Co-movement

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dc.cclicenceCC-BY-NCen
dc.contributor.authorColeman, Simeonen
dc.contributor.authorLeone, Vitoren
dc.contributor.authorDe Medeiros, Ribeiro Otavioen
dc.date.acceptance2018-09-18en
dc.date.accessioned2018-10-02T08:03:02Z
dc.date.available2018-10-02T08:03:02Z
dc.date.issued2018-10-19
dc.descriptionThe 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.en
dc.description.abstractWith 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.en
dc.funderN/Aen
dc.identifier.citationColeman, 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. 1109-1129en
dc.identifier.doihttps://doi.org/10.1002/ijfe.1708
dc.identifier.urihttp://hdl.handle.net/2086/16660
dc.language.isoenen
dc.peerreviewedYesen
dc.projectidN/Aen
dc.publisherWileyen
dc.researchgroupFiBReen
dc.researchinstituteFinance and Banking Research Group (FiBRe)en
dc.subjectCo-movementen
dc.subjectCorrelationen
dc.subjectEmerging and Frontier Stock Marketsen
dc.subjectPortfolio Diversificationen
dc.titleLatin-American Stock Market Dynamics and Co-movementen
dc.typeArticleen

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