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Testing for stock market integration in a developing economy: Colombia

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Luis Gutierrez
Jesus Otero

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Abstract

This article examines the linkage between two parallel stock exchanges trading the same shares in Colombia, namely the Bogota Stock Exchange and the Medellin Stock Exchange. We provide empirical evidence to support the hypothesis that these two markets can be best described as fully integrated over a period of almost four decades, which is consistent with the view that arbitrage opportunities are only possible in the short but not in the long-run. In addition, we find evidence that the location of a company's headquarters appears to matter in stock price formation.

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File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/17446540600993860&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
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Article provided by Taylor and Francis Journals in its journal Applied Financial Economics Letters.

Volume (Year): 3 (2007)
Issue (Month): 4 ()
Pages: 231-236
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Handle: RePEc:taf:apfelt:v:3:y:2007:i:4:p:231-236

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  1. Choudhry, Taufiq, 1997. "Stochastic Trends in Stock Prices: Evidence from Latin American Markets," Journal of Macroeconomics, Elsevier, vol. 19(2), pages 285-304, April. [Downloadable!] (restricted)
  2. Chowdhury, Abdur R., 1994. "Stock market interdependencies: Evidence from the asian NIEs," Journal of Macroeconomics, Elsevier, vol. 16(4), pages 629-651. [Downloadable!] (restricted)
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This page was last updated on 2009-11-19.

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