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Do European Stock Markets Affect Latin American Stock Markets?

Andrés Rivas, Rahul Verma, Antonio Rodriguez and Pedro Albuquerque
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Andrés Rivas: Texas A&M International University
Antonio Rodriguez: Texas A&M International University

Finance from EconWPA

Abstract: In this study, we examine the response of Latin American stock markets to movements in European stock markets using VAR models. Our results vary depending on the openness of the country in terms of international trade. We find evidence that Latin American stock markets are responsive to changes in the stock market from Spain. Additionally, during the second and third subperiods, Spain has much stronger ties with Brazil, and this might explain why Brazil responds more to the shocks originating from Spain than from France. In conclusion, this study uncovers two important findings. First, Spain influences Latin American markets but these responses are not homogeneous across markets. Second, the influence of Spain has different magnitude in the three subperiods.

Keywords: Emerging Markets; Latin America; Stock Markets Interdependence; VAR (search for similar items in EconPapers)
JEL-codes: F30 G15 O54 C22 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cfn, nep-fin, nep-fmk and nep-rmg
Date: 2005-12-14
Note: Type of Document - pdf; pages: 41
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpfi:0512017

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