Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/22155
Title: Stock market linkages : evidence from Latin America
Authors: Chen, GM
Firth, M
Rui, MO
Keywords: Cointegration
Dynamic interdependencies
Latin American stock markets
Issue Date: 2002
Publisher: Elsevier
Source: Journal of banking and finance, 2002, v. 26, no. 6, p. 1113-1141 How to cite?
Journal: Journal of banking and finance 
Abstract: This study investigates the dynamic interdependence of the major stock markets in Latin America. Using data from 1995 to 2000, we examine the stock market indexes of Argentina, Brazil, Chile, Colombia, Mexico and Venezuela. The index level series are non-stationary and so we employ cointegration analysis and error correction vector autoregressions (VAR) techniques to model the interdependencies. We find that there is one cointegrating vector which appears to explain the dependencies in prices. The results are robust to sensitivity tests based on translating indexes to US dollars (i.e., a common currency for all the markets) and to partitioning the sample into periods before and after the Asian and Russian financial crises of 1997 and 1998, respectively. Our results suggest that the potential for diversifying risk by investing in different Latin American markets is limited.
URI: http://hdl.handle.net/10397/22155
ISSN: 0378-4266
EISSN: 1872-6372
DOI: 10.1016/S0378-4266(01)00160-1
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