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Cointegration, error correction and Granger causality: an application with Latin American stock markets

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  • Kausik Chaudhuri

Abstract

This paper offers an empirical investigation of the presence of a long run relationship in stock prices in six Latin Emerging Markets. We find evidence of a long run relationship among all of these countries in a bivariate framework. Results indicate the presence of bidirectional rather than unidirectional causality suggesting the absence of weak exogeneity among their stock prices.

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Bibliographic Info

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

Volume (Year): 4 (1997)
Issue (Month): 8 ()
Pages: 469-471

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Handle: RePEc:taf:apeclt:v:4:y:1997:i:8:p:469-471

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Cited by:
  1. Ewing, Bradley T. & Payne, James E. & Sowell, Clifford, 1999. "NAFTA and North American stock market linkages: an empirical note," The North American Journal of Economics and Finance, Elsevier, vol. 10(2), pages 443-451.
  2. Grigoryev, Ruslan & Jaffry, Shabbar & Marchenko, German, 2012. "Investigation of the consequences of ignoring daily data non-synchronism in cross-market linkages: BRIC and developed countries," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 26(2), pages 92-112.
  3. P., Srinivasan & M., Kalaivani, 2013. "Stock Market Linkages in Emerging Asia-Pacific Markets," MPRA Paper 45871, University Library of Munich, Germany.
  4. Roland Füss & Dieter Kaiser, 2007. "The tactical and strategic value of hedge fund strategies: a cointegration approach," Financial Markets and Portfolio Management, Springer, vol. 21(4), pages 425-444, December.
  5. Chancharat,Surachai & Valadkhani, Abbas, 2007. "An Empirical Analysis of the Thai and Major International Stock Markets," Economics Working Papers wp07-13, School of Economics, University of Wollongong, NSW, Australia.

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