Stock market linkages evidence from latin america

Stock market linkages evidence from latin america

Author: slutttydick On: 23.05.2017

Please note that Internet Explorer version 8. Please refer to this blog post for more information. This paper examines long-run relationships between four Latin America stock markets and a mature stock market that of the US. We estimate both the autoregressive and moving average representations of a VAR model as suggested by Johansen [Johansen, S.

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Statistical analysis of cointegrating vectors, Journal of Economic Dynamics and Control, 12, —, Johansen, S. Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models, Econometrica, 59, — The main finding of the analysis suggests that there is one long-run relationship among the five equity markets.

Application of the Gonzalo and Granger [Gonzalo, J. Estimation of common long-memory components in cointegrated systems, Journal of Business and Economic Statistics, 13, 27— Finally, we show that although cointegration exists there are small long-run benefits from international portfolio diversification since the stock prices adjust very slowly to these common trends.

stock market linkages evidence from latin america

An earlier version of this paper was presented at seminars at Athens University of Economics and Business and the University of Crete. I acknowledge financial support from PENED under research grant 03ED46 by the General Secretariat for Research and Technology of the Ministry of Development.

I would like to thank without implicating Anastassios Drakos, Dimitris Georgoutsos, George Kouretas and Leonidas Zarangas for many helpful comments and discussions on an earlier draft. Manolis Syllignakis and Minoas Koukouritakis provided excellent research and computational assistance.

Finally, I would also like to thank an anonymous referee for his valuable comments that improved the manuscript substantially. The usual caveat applies.

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Stock market linkages: Evidence from Latin America

Global Finance Journal Volume 20, Issue 1 , , Pages International stock market linkages: Author links open the author workspace. Opens the author workspace Opens the author workspace Department of Business Administration, Athens University of Economics and Business, 76 Patission Street, GR, Athens, Greece. Abstract This paper examines long-run relationships between four Latin America stock markets and a mature stock market that of the US.

Stock market linkages: Evidence from Latin America

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