Stock return comovements and integration within the Latin American integrated market


Autoria(s): Castro, Carlos; Marín, Nini Johana
Data(s)

2014

Resumo

Financial integration has been pursued aggressively across the globe in the last fifty years; however, there is no conclusive evidence on the diversification gains (or losses) of such efforts. 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 of correlation is previous to the institutional efforts to establish an integrated market in the region. On the other hand, when we look at sector indexes and an integration measure, we find a decreased in comovements among a representative sample of securities form the integrated market.

Formato

application/pdf

Identificador

http://repository.urosario.edu.co/handle/10336/10804

Idioma(s)

eng

Publicador

Facultad de Economía

Relação

Serie documentos de trabajo. No 154 (Abril 2014)

https://ideas.repec.org/p/col/000091/011041.html

Direitos

info:eu-repo/semantics/openAccess

Fonte

instname:Universidad del Rosario

reponame:Repositorio Institucional EdocUR

instname:Universidad del Rosario

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Palavras-Chave #Economía #Integración económica #Integración económica internacional #Desarrollo económico #382.91 #comovements #correlation #market integration
Tipo

info:eu-repo/semantics/book

info:eu-repo/semantics/acceptedVersion