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Convergence of Caribbean Stock Exchanges

Author

Listed:
  • Howard, Stacia
  • Craigwell, Roland

Abstract

This paper uses daily data for market returns as well as for the cross-listed securities on the three main stock exchanges in the Caribbean: the Barbados Stock Exchange, the Trinidad and Tobago Stock Exchange and the Jamaica Stock Exchange to examine the beta-convergence and sigma-convergence of the markets. The results suggest that with respect to sigma-convergence, while the markets are becoming increasingly integrated, the convergence of the returns of the cross-listed securities is debatable, indicating some degree of information asymmetry. The results of the beta-convergence imply that the speed of convergence is still rather slow in comparison to other markets throughout the world.

Suggested Citation

  • Howard, Stacia & Craigwell, Roland, 2010. "Convergence of Caribbean Stock Exchanges," MPRA Paper 40930, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:40930
    as

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    File URL: https://mpra.ub.uni-muenchen.de/40930/1/MPRA_paper_40930.pdf
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    References listed on IDEAS

    as
    1. Karemera, David & Ojah, Kalu & Cole, John A, 1999. "Random Walks and Market Efficiency Tests: Evidence from Emerging Equity Markets," Review of Quantitative Finance and Accounting, Springer, vol. 13(2), pages 171-188, September.
    2. Gangemi, Michael & Brooks, Robert & Faff, Robert, 1999. "Mean reversion and the forecasting of country betas: a note," Global Finance Journal, Elsevier, vol. 10(2), pages 231-245.
    3. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    4. T Lorde & B Francis & A Greene, 2009. "Testing for Long-Run Comovement, Common Features and Efficiency in Emerging Stock Markets: Evidence from the Caribbean," Economic Issues Journal Articles, Economic Issues, vol. 14(2), pages 55-80, September.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Stock Exchanges; Convergence; Caribbean;

    JEL classification:

    • O47 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - Empirical Studies of Economic Growth; Aggregate Productivity; Cross-Country Output Convergence
    • G29 - Financial Economics - - Financial Institutions and Services - - - Other
    • O54 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - Latin America; Caribbean

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