IDEAS home Printed from
   My bibliography  Save this article

The integration of Latin American bond markets: a copula analysis approach (1999-2015)


  • Edgar Ortiz
  • Francisco López-Herrera
  • Roberto J. Santillán-Salgado
  • Alejandro Fonseca-Ramírez


This paper examines the relationships among government bonds markets, represented by EMBI returns for six Latin American markets: Argentina, Brazil, Chile, Colombia, Mexico and Peru. It applies a bivariate copula approach that identifies by pairs of markets the importance of that relationship. The sample data includes EMBI information about the six most important Latin American bond markets, including, Argentina, Brazil, Chile, Colombia, Mexico and Peru. Daily data covers the period May 28, 1999 to May 13, 2008. The empirical evidence shows that the association among these markets remains partially segmented. These results suggest that there are good opportunities to take advantage of diversification for investors' portfolios. Additionally, from the point of view of policy makers this evidence suggests that independently of any integration scheme, each country should strengthen their own macroeconomic policies, particularly their monetary policies. Finally, for corporations in the region results of this work, i.e., market segmentation of their respective bond markets implies less liquidity and efficiency of their domestic markets, as well as restricted opportunities for corporate regional cooperation.

Suggested Citation

  • Edgar Ortiz & Francisco López-Herrera & Roberto J. Santillán-Salgado & Alejandro Fonseca-Ramírez, 2016. "The integration of Latin American bond markets: a copula analysis approach (1999-2015)," International Journal of Bonds and Derivatives, Inderscience Enterprises Ltd, vol. 2(3), pages 267-283.
  • Handle: RePEc:ids:ijbder:v:2:y:2016:i:3:p:267-283

    Download full text from publisher

    File URL:
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ids:ijbder:v:2:y:2016:i:3:p:267-283. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sarah Parker (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.