Testing for stock market integration in a developing economy: Colombia

Luis Gutiérrez and Jesus Otero

No 3560, Documentos de Trabajo from Universidad del Rosario

Abstract: This paper examines the linkage between two parallel stock exchanges trading the same shares in Colombia, namely the Bogotá Stock Exchange and the Medellín Stock Exchange. We provide empirical evidence to support the hypothesis that these two markets can be best described as fully integrated over a period of almost four decades, which is consistent with the view that arbitrage opportunities are only possible in the short but not in the long run. In addition, we find evidence that the location of a company´s headquarters appears to matter in stock price formation.

Keywords: Stock market; cointegration; arbitrage; Colombia (search for similar items in EconPapers)
JEL-codes: G14 O16 (search for similar items in EconPapers)
Pages: 12
Date: 2006-08-01
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http://repository.urosario.edu.co/bitstream/handle/10336/10945/3560.pdf

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Journal Article: Testing for stock market integration in a developing economy: Colombia (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:col:000092:003560

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