Do Emerging Equity Markets Respond Symmetrically to US Market Upturns and Downturns? Evidence from Latin America
AbstractWe investigate the existence of asymmetries in Latin American equity markets to upturns and downturns in the US stock market. We find the magnitude and duration of an upturn in the US market are fully reflected in equity markets of Latin America and that the impact is significantly different from that of a downturn. The results are consistent with the view that international investors react more sharply to downturns than upturns. We conclude that if portfolios are formed based on average co-movements, which assume symmetry, the performance of the investment may be worse than expected in down markets.
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Bibliographic InfoArticle provided by College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan in its journal International Journal of Business and Economics.
Volume (Year): 4 (2005)
Issue (Month): 3 (December)
equity markets; Latin America; response asymmetries;
Find related papers by JEL classification:
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- O54 - Economic Development, Technological Change, and Growth - - Economywide Country Studies - - - Latin America; Caribbean
- F30 - International Economics - - International Finance - - - General
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