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A cointegration analysis between Mercosur and international stock markets

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  • Fernando Seabra

Abstract

This paper deals with an empirical investigation on the existence of long-run relationships among the two most important Mercosur stock market indexes (the Argentine Merval and the Brazilian Ibovespa) and two major international stock price indexes (the Japanese Nikkei and the US Dow Jones) and also with the estimation of short-run responses of those two emerging stock markets. Bivariate and multivariate cointegration tests indicate that there is no common trend linking the Argentine and the Brazilian stock price indexes. This result can be seen as a drawback to a proposal of stock market integration in Mercosur. On the other hand, cointegration between the two Latin American stock markets and the Dow Jones cannot be rejected. Based on an error correction mechanism, the estimated short-run elasticities show that the Ibovespa index is more responsive to changes in the Dow Jones than the Merval index.

Suggested Citation

  • Fernando Seabra, 2001. "A cointegration analysis between Mercosur and international stock markets," Applied Economics Letters, Taylor & Francis Journals, vol. 8(7), pages 475-478.
    • Handle: RePEc:taf:apeclt:v:8:y:2001:i:7:p:475-478
    DOI: 10.1080/13504850010005819
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    Cited by:

    1. Alexandr Èerný & Michal Koblas, 2008. "Stock Market Integration and the Speed of Information Transmission," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 58(01-02), pages 2-20, January.
    2. Anil Sharma & Neha Seth, 2012. "Literature review of stock market integration: a global perspective," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, vol. 4(1), pages 84-122, April.

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