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The comovements in international stock markets: new evidence from Latin American emerging countries

Mohamed Arouri (), Mondher Bellalah and Duc Khuong Nguyen

Applied Economics Letters, 2010, vol. 17, issue 13, 1323-1328

Abstract: We analyse the time variations in the comovements of Latin American stock markets. Conditional correlations are estimated from the dynamic conditional correlation GARCH model. Then, Bai and Perron's (2003) structural break technique is employed to test for changing nature of market comovements. Main findings are as follows. First, the degree of cross-market comovements changed over time and has significantly increased since 1994. However, room for international diversification still remains largely possible. Second, the comovements are subjected to various regime shifts, essentially due to major economic events. Finally, stock markets move much more together in times of crisis.

Date: 2010
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Related works:
Working Paper: The Comovements in International Stock Markets: New Evidence from Latin American Emerging Countries (2008)
Working Paper: The Comovements in International Stock Markets: New Evidence from Latin American Emerging Countries (2008)
Working Paper: THE COMOVEMENTS IN INTERNATIONAL STOCK MARKETS: NEW EVIDENCE FROM LATIN AMERICAN EMERGING COUNTRIES (2008) Downloads
Working Paper: The Commovements in International Stock Markets: New Evidence from Lating American Emerging Countries (2008) Downloads
Working Paper: The Comovements in International Stock Markets: New Evidence from Latin American Emerging Countries (2007) Downloads
Working Paper: The Comovements in International Stock Markets: New Evidence from Latin American Emerging Countries (2007)
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DOI: 10.1080/13504850902967449

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