Stock market integration in the Latin American markets: further evidence from nonlinear modeling
Fredj Jawadi (),
Nicolas Million and
Mohamed Arouri ()
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This article studies the financial integration between the six main Latin American markets and the US market in a nonlinear framework. Using the threshold cointegration techniques of Hansen and Seo (2002), we show significant threshold stock market linkages between Mexico, Chile and the US. Thus, the dynamics of these markets depends simultaneously on local and global risk factors. More importantly, our results show an on-off threshold financial integration process that is activated only when the stock price adjustment exceeds some level.
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Published in Economics Bulletin 29, 1 (2009) 162-168
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Journal Article: Stock market integration in the Latin American markets: further evidence from nonlinear modeling (2009)
Working Paper: Stock market integration in the Latin American markets: further evidence from nonlinear modeling (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0905.3874
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