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The comovements in international stock markets: new evidence from Latin American emerging countries

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  • Mohamed El Hedi Arouri
  • Mondher Bellalah
  • Duc Khuong Nguyen

Abstract

We analyse the time variations in the comovements of Latin American stock markets. Conditional correlations are estimated from the dynamic conditional correlation GARCH model. Then, Bai and Perron's (2003) structural break technique is employed to test for changing nature of market comovements. Main findings are as follows. First, the degree of cross-market comovements changed over time and has significantly increased since 1994. However, room for international diversification still remains largely possible. Second, the comovements are subjected to various regime shifts, essentially due to major economic events. Finally, stock markets move much more together in times of crisis.

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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

Volume (Year): 17 (2010)
Issue (Month): 13 ()
Pages: 1323-1328

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Handle: RePEc:taf:apeclt:v:17:y:2010:i:13:p:1323-1328

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Cited by:
  1. repec:wyi:journl:002183 is not listed on IDEAS
  2. Fernanda G Barba & Paulo S Ceretta, 2011. "Risk transmission between Latin America stock markets and the US: impacts of the 2007/2008 Crisis," Economics Bulletin, AccessEcon, vol. 31(2), pages 1025-1037.
  3. Park, Yung Chul & Park, Hail, 2014. "Stock Market Co-Movement and Exchange Rate Flexibility: Experience of the Republic of Korea," ADBI Working Papers 479, Asian Development Bank Institute.

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