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Integration Of Latin American Stock Markets: Analysis Of Common Risk Factors, Integracion De Mercados Accionarios Latinoamericanos: Analisis De Factores De Riesgo En Comun

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  • Yaneth Romero Alvarez

Abstract

This paper analyzes six major Latin American stock markets risk diversification. Historical stock price returns of the 15 most traded stocks of Argentina, Brazil, Chile, Colombia, Mexico and Peru were analyzed during the period of January 2008 to February 2012. The process of integration of these countries was measured by correlation analysis using CAPM methodology. Factor analysis and Principal Components Analysis were also used in the analysis. Results showed the diversification decreases as integration of these markets increases.

Suggested Citation

  • Yaneth Romero Alvarez, 2013. "Integration Of Latin American Stock Markets: Analysis Of Common Risk Factors, Integracion De Mercados Accionarios Latinoamericanos: Analisis De Factores De Riesgo En Comun," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, vol. 6(6), pages 29-38.
    • Handle: RePEc:ibf:riafin:v:6:y:2013:i:6:p:29-38
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    More about this item

    Keywords

    Factor Analysis; Principal Component Analysis; Integration of Capital Markets; CAPM;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General

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