With the economic relevance of the relationships among emerging and frontier equity markets becoming increasingly significant, this paper investigates co-movement among returns from six Latin-American stock markets [Mexico (BMV), Brazil (BOVESPA), Chile (IPSA), Peru
(IGBVL), Argentina (MERVAL), Venezuela (IBVC)] and also with the U.S. S&P 500
Composite index. In part, we employ Principal Component Analyses, to account for the maximum portion of the variance present in the returns by examining rolling windows with 8,6,4,3,2, and 1-year periods. We also investigate the incidence of structural breaks and comovement,
aiming to uncover the dynamics in co-movements among these markets. We find
evidence of high co-movement among the Latin-American markets, and also with the U.S. markets. Venezuela and Mexico’s equity markets are at the extremes. However, our results do not corroborate findings of clear evidence, reported in previous studies, of the U.S. having a
leading role in the region.
History
School
Business and Economics
Department
Economics
Published in
International Journal of Finance and Economics
Volume
24
Issue
3
Pages
1109-1129
Citation
COLEMAN, S., LEONE, V. and DE MEDEIROS, O.R., 2018. Latin-American stock market dynamics and comovement. International Journal of Finance and Economics, 24 (3), pp.1109-1129.
This is the peer reviewed version of the following article: COLEMAN, S., LEONE, V. and DE MEDEIROS, O.R., 2018. Latin-American stock market dynamics and comovement. International Journal of Finance and Economics, 24 (3), pp.1109-1129, which has been published in final form at https://doi.org/10.1002/ijfe.1708. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions.