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Testing for Stock Market Integration in a Developing Economy: Colombia

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Luis H Gutierrez ()
Jesús Otero ()

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Abstract

This paper examines the linkage between two parallel stock exchanges trading the same shares in Colombia, namely the Bogotá Stock Exchange and the Medellín 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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Paper provided by UNIVERSIDAD DEL ROSARIO - FACULTAD DE ECONOMÍA in its series DOCUMENTOS DE TRABAJO with number 003560.

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Length: 12
Date of creation: 01 Aug 2006
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Handle: RePEc:col:000092:003560

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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 2009-11-18.

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