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Do European Stock Markets Affect Latin American Stock Markets?

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Author Info
Andrés Rivas (Texas A&M International University)
Rahul Verma (University of Houston, Downtown)
Antonio Rodriguez (Texas A&M International University)
Pedro H. Albuquerque (Texas A&M International University)

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Abstract

In this study, we examine the response of Latin American stock markets to movements in European stock markets using VAR models. Our results vary depending on the openness of the country in terms of international trade. We find evidence that Latin American stock markets are responsive to changes in the stock market from Spain. Additionally, during the second and third subperiods, Spain has much stronger ties with Brazil, and this might explain why Brazil responds more to the shocks originating from Spain than from France. In conclusion, this study uncovers two important findings. First, Spain influences Latin American markets but these responses are not homogeneous across markets. Second, the influence of Spain has different magnitude in the three subperiods.

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Paper provided by EconWPA in its series Finance with number 0512017.

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Length: 41 pages
Date of creation: 14 Dec 2005
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Handle: RePEc:wpa:wuwpfi:0512017

Note: Type of Document - pdf; pages: 41
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Related research
Keywords: Emerging Markets; Latin America; Stock Markets Interdependence; VAR;

Find related papers by JEL classification:
F30 - International Economics - - International Finance - - - General
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
O54 - Economic Development, Technological Change, and Growth - - Economywide Country Studies - - - Latin America; Caribbean
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions

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