Version for Repository July 2018.pdf (721.59 kB)
Latin-American stock market dynamics and co-movement
journal contribution
posted on 2018-10-01, 10:43 authored by Simeon ColemanSimeon Coleman, Vitor Leone, Otavio R. de MedeirosWith 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 EconomicsVolume
24Issue
3Pages
1109-1129Citation
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.Publisher
© John Wiley & Sons, Ltd.Version
- AM (Accepted Manuscript)
Publisher statement
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.Acceptance date
2018-09-10Publication date
2018-10-19Copyright date
2019ISSN
1076-9307eISSN
1099-1158Publisher version
Language
- en