Do European Stock Markets Affect Latin American Stock Markets?
Download full text from publisher
References listed on IDEAS
- Runkle, David E, 1987. "Vector Autoregressions and Reality," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(4), pages 437-442, October.
- Barari, Mahua, 2004. "Equity market integration in Latin America: A time-varying integration score analysis," International Review of Financial Analysis, Elsevier, vol. 13(5), pages 649-668.
- Kaminsky, Graciela L & Reinhart, Carmen M, 1998.
"Financial Crises in Asia and Latin America: Then and Now,"
American Economic Review,
American Economic Association, vol. 88(2), pages 444-448, May.
- Reinhart, Carmen & Kaminsky, Graciela, 1998. "Financial crises in Asia and Latin America: Then and now," MPRA Paper 13877, University Library of Munich, Germany.
- Reinhart, Carmen & Kaminsky, Graciela, 2000.
"Crisis financieras en Asia y Latinoamerica: ahora y entonces
[Financial Crises in Asia and Latin America Different: Then and Now]," MPRA Paper 13735, University Library of Munich, Germany.
- Ortiz, Edgar & Arjona, Enrique, 2001. "Heterokedastic behavior of the Latin American emerging stock markets," International Review of Financial Analysis, Elsevier, vol. 10(3), pages 287-305.
- Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
- Phylaktis, Kate & Ravazzolo, Fabiola, 2002. "Measuring financial and economic integration with equity prices in emerging markets," Journal of International Money and Finance, Elsevier, vol. 21(6), pages 879-903, November.
- Verma, Rahul & Ozuna, Teofilo, 2005. "Are emerging equity markets responsive to cross-country macroeconomic movements?: Evidence from Latin America," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(1), pages 73-87, January.
- Christofi, A. & Pericli, A., 1999. "Correlation in price changes and volatility of major Latin American stock markets," Journal of Multinational Financial Management, Elsevier, vol. 9(1), pages 79-93, January.
- Gokce Soydemir, 2002. "The impact of the movements in US threemonth Treasury bill yields on the equity markets in Latin America," Applied Financial Economics, Taylor & Francis Journals, vol. 12(2), pages 77-84.
- Robert V. Bubel & Edward C. Skelton, 2002. "Financial globalization: manna or menace? The case of Mexican banking," Southwest Economy, Federal Reserve Bank of Dallas, issue Jan, pages 17-19.
- Meric, Gulser & Leal, Ricardo P. C. & Ratner, Mitchell & Meric, Ilhan, 2001. "Co-movements of U.S. and Latin American equity markets before and after the 1987 crash," International Review of Financial Analysis, Elsevier, vol. 10(3), pages 219-235.
- Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
- Johnson, Robert & Soenen, Luc, 2003. "Economic integration and stock market comovement in the Americas," Journal of Multinational Financial Management, Elsevier, vol. 13(1), pages 85-100, February.
- Carmen M. Reinhart & Sara Calvo, 1996.
"Capital Flows to Latin America: Is There Evidence of Contagion Effects?,"
Peterson Institute Press: Chapters,in: Guillermo A. Calvo & Morris Goldstein & Eduard Hochreiter (ed.), Private Capital Flows to Emerging Markets After the Mexican Crisis, pages 151-171
Peterson Institute for International Economics.
- Calvo, Sara & Reinhart, Carmen, 1996. "Capital flows to Latin America : Is there evidence of contagion effects?," Policy Research Working Paper Series 1619, The World Bank.
- Reinhart, Carmen & Calvo, Sara, 1996. "Capital Flows to Latin America: Is There Evidence of Contagion Effects?”," MPRA Paper 7124, University Library of Munich, Germany.
- Jose Pagan & Gokce Soydemir, 2000. "On the linkages between equity markets in Latin America," Applied Economics Letters, Taylor & Francis Journals, vol. 7(3), pages 207-210.
- Schwert, G William, 1990.
" Stock Returns and Real Activity: A Century of Evidence,"
Journal of Finance,
American Finance Association, vol. 45(4), pages 1237-1257, September.
- G. William Schwert, 1990. "Stock Returns and Real Activity: A Century of Evidence," NBER Working Papers 3296, National Bureau of Economic Research, Inc.
- Bailey, Warren & Chung, Y. Peter, 1995. "Exchange Rate Fluctuations, Political Risk, and Stock Returns: Some Evidence from an Emerging Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(04), pages 541-561, December.
- Runkle, David E, 1987. "Vector Autoregressions and Reality: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(4), pages 454-454, October.
- John Hawkins & Dubravko Mihaljek, 2001. "The banking industry in the emerging market economies: competition, consolidation and systemic stability: an overview," BIS Papers chapters,in: Bank for International Settlements (ed.), The banking industry in the emerging market economies: competition, consolidation and systemic stability, volume 4, pages 1-44 Bank for International Settlements.
- Ali F. Darrat, 2002. "Permanent and Transitory Driving Forces in the Asian-Pacific Stock Markets," The Financial Review, Eastern Finance Association, vol. 37(1), pages 35-51, February.
- David E. Runkle, 1987. "Vector autoregressions and reality," Staff Report 107, Federal Reserve Bank of Minneapolis.
- Kasa, Kenneth, 1992. "Common stochastic trends in international stock markets," Journal of Monetary Economics, Elsevier, vol. 29(1), pages 95-124, February.
- Pretorius, Elna, 2002. "Economic determinants of emerging stock market interdependence," Emerging Markets Review, Elsevier, vol. 3(1), pages 84-105, March.
- Roll, Richard, 1992. " Industrial Structure and the Comparative Behavior of International Stock Market Indices," Journal of Finance, American Finance Association, vol. 47(1), pages 3-41, March.
- Canova, Fabio & De Nicolo', Gianni, 1995. "Stock returns and real activity: A structural approach," European Economic Review, Elsevier, vol. 39(5), pages 981-1015, May.
- R. Gaston Gelos & Ratna Sahay, 2001.
"Financial market spillovers in transition economies,"
The Economics of Transition,
The European Bank for Reconstruction and Development, vol. 9(1), pages 53-86, March.
- Ratna Sahay & R. G Gelos, 2000. "Financial Market Spillovers in Transition Economies," IMF Working Papers 00/71, International Monetary Fund.
- Ratanapakorn, Orawan & Sharma, Subhash C., 2002. "Interrelationships among regional stock indices," Review of Financial Economics, Elsevier, vol. 11(2), pages 91-108.
- Choudhry, Taufiq, 1997. "Stochastic Trends in Stock Prices: Evidence from Latin American Markets," Journal of Macroeconomics, Elsevier, vol. 19(2), pages 285-304, April.
- Pagan, Jose A. & Soydemir, Gokce A., 2001. "Response asymmetries in the Latin American equity markets," International Review of Financial Analysis, Elsevier, vol. 10(2), pages 175-185.
- Bilson, Christopher M. & Brailsford, Timothy J. & Hooper, Vincent J., 2001. "Selecting macroeconomic variables as explanatory factors of emerging stock market returns," Pacific-Basin Finance Journal, Elsevier, vol. 9(4), pages 401-426, August.
- Cooper, Ian & Kaplanis, Evi, 1994. "Home Bias in Equity Portfolios, Inflation Hedging, and International Capital Market Equilibrium," Review of Financial Studies, Society for Financial Studies, vol. 7(1), pages 45-60.
More about this item
KeywordsEmerging Markets; Latin America; Stock Markets Interdependence; VAR;
- F30 - International Economics - - International Finance - - - General
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- O54 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - Latin America; Caribbean
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-12-20 (All new papers)
- NEP-CFN-2005-12-20 (Corporate Finance)
- NEP-FIN-2005-12-20 (Finance)
- NEP-FMK-2005-12-20 (Financial Markets)
- NEP-RMG-2005-12-20 (Risk Management)
StatisticsAccess and download statistics
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:wpa:wuwpfi:0512017. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (EconWPA). General contact details of provider: https://econwpa.ub.uni-muenchen.de .
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.
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.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.