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Title: Latin-American stock market dynamics and co-movement
Authors: Coleman, Simeon
Leone, Vitor
de Medeiros, Otavio R.
Keywords: Co-movement
Emerging and frontier stock markets
Portfolio diversification
Issue Date: 2018
Publisher: © John Wiley & Sons, Ltd.
Citation: COLEMAN, S., LEONE, V. and DE MEDEIROS, O.R., 2018. Latin-American stock market dynamics and comovement. International Journal of Finance and Economics, doi:10.1002/ijfe.1708.
Abstract: With the economic relevance of the relationships among emerging and frontier equity markets becoming increasingly significant, this paper investigates co-movement among returns from six Latin-American stock markets [Mexico (BMV), Brazil (BOVESPA), Chile (IPSA), Peru (IGBVL), Argentina (MERVAL), Venezuela (IBVC)] and also with the U.S. S&P 500 Composite index. In part, we employ Principal Component Analyses, to account for the maximum portion of the variance present in the returns by examining rolling windows with 8,6,4,3,2, and 1-year periods. We also investigate the incidence of structural breaks and comovement, aiming to uncover the dynamics in co-movements among these markets. We find evidence of high co-movement among the Latin-American markets, and also with the U.S. markets. Venezuela and Mexico’s equity markets are at the extremes. However, our results do not corroborate findings of clear evidence, reported in previous studies, of the U.S. having a leading role in the region.
Description: This paper is in closed access until 19 October 2020.
Version: Accepted for publication
DOI: 10.1002/ijfe.1708
URI: https://dspace.lboro.ac.uk/2134/35111
Publisher Link: https://doi.org/10.1002/ijfe.1708
ISSN: 1076-9307
Appears in Collections:Closed Access (Economics)

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