Co-movements between Latin American and U.S. stock markets: convergence after the financial crisis

Andrés Ramírez Hassan () and Javier Pantoja ()

No 10931, Documentos de Trabajo de Valor Público from Universidad EAFIT

Abstract: Currently, the world is facing a continuous process of integration in different aspects and financial markets are no exception to this development. Despite the fact that global integration is gradual, one can find some specific events that might help to accelerate this trend. This paper shows that after the financial crisis of 2008, which mainly occurred in the United States, the Latin American stock markets exhibit a higher level of convergence, measured by the correlation between the annual returns of their stock market indices. Additionally, we find convergence in the coefficient of sensitivity between Latin American and U.S. stock markets, using dynamic linear models at the regional level. In particular, we uncover consistent movements in the levels of sensitivity between the daily annual returns of the Latin American indices and the S&P index after the financial crisis. This kind of convergence might be a positive sign to accelerate the integration process in Latin America stock markets, which has had a slow development since its beginning a few years ago.

Keywords: Dynamic Linear Models; Latin American Stock Markets (search for similar items in EconPapers)
JEL-codes: G01 G15 (search for similar items in EconPapers)
Pages: 16
Date: 2013-11-06
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:

Downloads: (external link)
http://repository.eafit.edu.co/bitstream/handle/10 ... quence=1&isAllowed=y
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to repository.eafit.edu.cobitstream:443 (No such host is known. ) (http://repository.eafit.edu.co/bitstream/handle/10784/1195/2013_26_Andres_Ramirez_Hassan.pdf?sequence=1&isAllowed=y [302 Found]--> https://repository.eafit.edu.cobitstream/handle/10784/1195/2013_26_Andres_Ramirez_Hassan.pdf?sequence=1&isAllowed=y)

Related works:
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:000122:010931

Access Statistics for this paper

More papers in Documentos de Trabajo de Valor Público from Universidad EAFIT Contact information at EDIRC.
Bibliographic data for series maintained by Valor Público EAFIT - Centro de estudios e incidencia ().