EconPapers    
Economics at your fingertips  
 

Stock return comovements and integration within the Latin American integrated market

Carlos Castro Iragorri () and Nini Johana Marin ()

Documentos de Trabajo from Universidad del Rosario

Abstract: Abstract: Financial integration has been pursued aggressively across the globe in the last fifty years; however, there is no conclusive evidence on the diversification gains (or losses) of such efforts. These gains (or losses) are related to the degree of comovements and synchronization among increasingly integrated global markets. We quantify the degree of comovements within the integrated Latin American market (MILA). We use dynamic correlation models to quantify comovements across securities as well as a direct integration measure. Our results show an increase in comovements when we look at the country indexes, however, the increase in the trend of correlation is previous to the institutional efforts to establish an integrated market in the region. On the other hand, when we look at sector indexes and an integration measure, we find a decreased in comovements among a representative sample of securities form the integrated market.

Keywords: Comovements; correlation; market integration (search for similar items in EconPapers)
Pages: 22
Date: 2014-04-01
New Economics Papers: this item is included in nep-fmk and nep-lam
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.urosario.edu.co/economia/documentos/pdf/dt154/

Related works:
Working Paper: Stock return comovements and integration within the Latin American integrated market (2014) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:col:000092:011082

Access Statistics for this paper

More papers in Documentos de Trabajo from Universidad del Rosario
Bibliographic data for series maintained by Facultad de Economía ().

 
Page updated 2022-05-17
Handle: RePEc:col:000092:011082