Version for Repository July 2018.pdf (721.59 kB)

Latin-American stock market dynamics and co-movement

Download (721.59 kB)
journal contribution
posted on 01.10.2018, 10:43 by Simeon Coleman, Vitor Leone, Otavio R. de Medeiros
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.

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

10/09/2018

Publication date

2018-10-19

Copyright date

2019

ISSN

1076-9307

eISSN

1099-1158

Language

en