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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

    as
    1. Chowdhury, Abdur R., 1994. "Stock market interdependencies: Evidence from the asian NIEs," Journal of Macroeconomics, Elsevier, vol. 16(4), pages 629-651.
    2. Choudhry, Taufiq, 1997. "Stochastic Trends in Stock Prices: Evidence from Latin American Markets," Journal of Macroeconomics, Elsevier, vol. 19(2), pages 285-304, April.
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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.

    More about this item

    Keywords

    Stock market; cointegration; arbitrage; Colombia;

    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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