INTEGRATION OF LATIN AMERICAN STOCK MARKETS: ANALYSIS OF COMMON RISK FACTORS, INTEGRACION DE MERCADOS ACCIONARIOS LATINOAMERICANOS: ANALISIS DE FACTORES DE RIESGO EN COMUN

Yaneth Romero Alvarez

Revista Internacional Administracion & Finanzas, 2013, vol. 6, issue 6, 29-38

Abstract: This paper analyzes six major Latin American stock markets risk diversification. Historical stock price returns of the 15 most traded stocks of Argentina, Brazil, Chile, Colombia, Mexico and Peru were analyzed during the period of January 2008 to February 2012. The process of integration of these countries was measured by correlation analysis using CAPM methodology. Factor analysis and Principal Components Analysis were also used in the analysis. Results showed the diversification decreases as integration of these markets increases.

Keywords: Factor Analysis; Principal Component Analysis; Integration of Capital Markets; CAPM (search for similar items in EconPapers)
JEL-codes: C10 C20 G15 (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:ibf:riafin:v:6:y:2013:i:6:p:29-38

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