Testing for stock market integration in a developing economy: Colombia
AbstractThis 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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Bibliographic InfoPaper provided by UNIVERSIDAD DEL ROSARIO in its series DOCUMENTOS DE TRABAJO with number 003560.
Date of creation: 01 Aug 2006
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Stock market; cointegration; arbitrage; Colombia;
Other versions of this item:
- Luis Gutierrez & Jesus Otero, 2007. "Testing for stock market integration in a developing economy: Colombia," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 3(4), pages 231-236.
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- O16 - Economic Development, Technological Change, and Growth - - Economic Development - - - Financial Markets; Saving and Capital Investment; Corporate Finance and Governance
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-09-02 (All new papers)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Choudhry, Taufiq, 1997. "Stochastic Trends in Stock Prices: Evidence from Latin American Markets," Journal of Macroeconomics, Elsevier, vol. 19(2), pages 285-304, April.
- Chowdhury, Abdur R., 1994. "Stock market interdependencies: Evidence from the asian NIEs," Journal of Macroeconomics, Elsevier, vol. 16(4), pages 629-651.
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