Macroeconomic shocks and the co-movement of stock returns in Latin America

Eurilton Araújo

Emerging Markets Review, 2009, vol. 10, issue 4, 331-344

Abstract: This paper studies the economic sources underlying the co-movement of real stock returns in Latin America. Following the literature on structural vector autoregressive models (SVARs), I use long-run restrictions to identify three structural shocks: demand, supply, and portfolio shocks. For some countries, portfolio shocks are important factors behind real stock returns. Furthermore, these shocks seem to be important in explaining cross-country co-movement patterns. However, these findings are not statistically strong due to the degree of uncertainty about the estimates of the importance of each structural shock and the cross-correlation coefficients. Therefore, macroeconomic shocks (supply and demand) cannot be neglected in accounting for the dynamics of real stock returns.

Keywords: Real; stock; returns; Structural; shocks; Co-movement (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (10)

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Working Paper: Macroeconomic Shocks and the Co-movement of Stock Returns in Latin America (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:10:y:2009:i:4:p:331-344

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