Stock market integration in the Latin American markets: further evidence from nonlinear modeling
AbstractThis article studies the financial integration between the six main Latin American markets and the US market in a nonlinear framework. Using the threshold cointegration techniques of Hansen and Seo (2002), we show significant threshold stock market linkages between Mexico, Chile and the US. Thus, the dynamics of these markets depends simultaneously on local and global risk factors. More importantly, our results show an on-off threshold financial integration process that is activated only when the stock price adjustment exceeds some level.
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Bibliographic InfoPaper provided by HAL in its series Post-Print with number hal-00387110.
Date of creation: 2009
Date of revision:
Publication status: Published, Economics Bulletin, 2009, 29, 1, 162-168
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Other versions of this item:
- Fredj JAWADI & Nicolas MILLION & Mohamed El hédi Arouri, 2009. "Stock market integration in the Latin American markets: further evidence from nonlinear modeling," Economics Bulletin, AccessEcon, vol. 29(1), pages 162-168.
- Fredj Jawadi & Nicolas Million & Mohamed El Hedi Arouri, 2009. "Stock market integration in the Latin American markets: further evidence from nonlinear modeling," Papers 0905.3874, arXiv.org.
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
- G1 - Financial Economics - - General Financial Markets
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-05-30 (All new papers)
- NEP-FMK-2009-05-30 (Financial Markets)
- NEP-LAM-2009-05-30 (Central & South America)
- NEP-RMG-2009-05-30 (Risk Management)
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