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Stock return comovements and integration within the Latin American integrated market

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Listed author(s):
  • Carlos Castro

    ()

  • Nini Johana Marin

    ()

Abstract

Abstract: Financial integration has been pursued aggressively across the globe in the last ?fty years; however, there is no conclusive evidence on the diversi?cation gains (or losses) of such e?orts. These gains (or losses) are related to the degree of comovements and synchronization among increasingly integrated global markets. We quantify the degree of comovements within the integrated Latin American market (MILA). We use dynamic correlation models to quantify comovements across securities as well as a direct integration measure. Our results show an increase in comovements when we look at the country indexes, however, the increase in the trend when we look at the country indexes, however, the increase in the trend grated market in the region. On the other hand, when we look at sector indexes and an integration measure, we ?nd a decreased in comovements among a representative sample of securities form the integrated market.

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File URL: http://repository.urosario.edu.co/bitstream/handle/10336/10804/11041.pdf
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Paper provided by UNIVERSIDAD DEL ROSARIO in its series BORRADORES DE INVESTIGACIÓN with number 011041.

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Length: 22
Date of creation: 01 Apr 2014
Handle: RePEc:col:000091:011041
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Keywords: Comovements; correlation; market integration;

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  1. Barras, L. & Isakov, D., 2001. "How to Diversify Internationally? A Comparison of Conditional and Unconditional Asset Allocation Methods," Papers 37, Manitoba - Department of Economics.
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  8. Manolis Kavussanos & Stelios Marcoulis & Angelos Arkoulis, 2002. "Macroeconomic factors and international industry returns," Applied Financial Economics, Taylor & Francis Journals, vol. 12(12), pages 923-931.
  9. Chelley-Steeley, Patricia L., 2005. "Modeling equity market integration using smooth transition analysis: A study of Eastern European stock markets," Journal of International Money and Finance, Elsevier, vol. 24(5), pages 818-831, September.
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