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Testing for stock market integration in a developing economy: Colombia

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  • Luis H Gutierrez
  • Jesús Otero

Abstract

This paper examines the linkage between two parallel stock exchanges trading the same shares in Colombia, namely the Bogotá Stock Exchange and the Medellín Stock Exchange. We provide empirical evidence to support the hypothesis that these two markets can be best described as fully integrated over a period of almost four decades, which is consistent with the view that arbitrage opportunities are only possible in the short but not in the long run. In addition, we find evidence that the location of a company´s headquarters appears to matter in stock price formation.

Suggested Citation

  • Luis H Gutierrez & Jesús Otero, 2006. "Testing for stock market integration in a developing economy: Colombia," Documentos de Trabajo 003560, Universidad del Rosario.
    • Handle: RePEc:col:000092:003560
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    File URL: http://repository.urosario.edu.co/bitstream/handle/10336/10945/3560.pdf
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    References listed on IDEAS

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    7. Niklas Ahlgren & Jan Antell, 2002. "Testing for cointegration between international stock prices," Applied Financial Economics, Taylor & Francis Journals, vol. 12(12), pages 851-861.
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    Cited by:

    1. Anil Sharma & Neha Seth, 2012. "Literature review of stock market integration: a global perspective," Qualitative Research in Financial Markets, Emerald Group Publishing, vol. 4(1), pages 84-122, April.
    2. Hatemi-J, Abdulnasser & Al-Mohana, Safa, 2019. "Testing for Financial Market Integration of the UAE Market with the Global Market," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 72(4), pages 475-492.

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    More about this item

    Keywords

    Stock market; cointegration; arbitrage; Colombia;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • O16 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Financial Markets; Saving and Capital Investment; Corporate Finance and Governance

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