Stock return comovements and integration within the Latin American integrated market

dc.creatorCastro, Carlos
dc.creatorMarín, Nini Johana
dc.date.accessioned2015-09-17T11:33:13Z
dc.date.available2015-09-17T11:33:13Z
dc.date.created2015-09-17T11:33:13Z
dc.date.issued2014
dc.identifierCastro, C., & Marín, N. J. (2014). Stock return comovements and integration within. Bogotá: Universidad del Rosario.
dc.identifierhttp://repository.urosario.edu.co/handle/10336/10804
dc.identifierEditorial Universidad del Rosario
dc.identifierhttps://doi.org/10.48713/10336_10804
dc.description.abstractFinancial 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.
dc.languageeng
dc.publisherUniversidad del Rosario
dc.publisherFacultad de Economía
dc.relationSerie documentos de trabajo. No 154 (Abril 2014)
dc.relationhttps://ideas.repec.org/p/col/000091/011041.html
dc.relationNo. 154
dc.relationSerie Documentos de trabajo. Economía
dc.rightsinfo:eu-repo/semantics/openAccess
dc.rightsAbierto (Texto completo)
dc.rightsAtribución-NoComercial-SinDerivadas 2.5 Colombia
dc.sourceA., L. and K., S. (2011). U.s. and latin american stock market linkages. Journal of International Money and Finance, 30:13411357.
dc.sourceAng, A. and Bekaert, G. (2002). International asset allocation with regime shifts. Review of Financial Studies, 15(4):1137–1187.
dc.sourceBekaert, G., Hodrick, R., and Zhang, X. (2009). International stock comovements. Journal of Finance, 64(6):2591–2626.
dc.sourceBerger, D., Pukthuanthong, K., and Yang, J. (2011). International diversification with frontier markets. Journal of Financial Economics, 101:227–242.
dc.sourceBruneau, C. and Caicedo-Llano, J. (2006). Comovements of international equity markets and financial integration measures. Working Paper, 1:1–45.
dc.sourceBruneau, C. and Caicedo-llano, J. (2009). Co-movements of international equity markets: a large-scale factor model approach. Economics Bulletin, 29:1484–1500.
dc.sourceCaporin, M. and McAleer, M. (2013). Ten things you should know about dcc. Working Paper.
dc.sourceCappiello, L., Engle, R., and Sheppard, K. (2006). Asymmetric dynamics in the correlations of global equity and bond returns. Journal of Financial Econometrics, 4:537–572.
dc.sourceChelley-Steeley, P. (2008). Modelling equity market integration using smooth transition analysis: a study of eastern european stock markets. Journal of International Money and Finance, 24:818831.
dc.sourceChiou, W. (2008). Who benefits more from international diversifi- cation? Journal of International Financial Markets, Institutions, and Money, 18:466482.
dc.sourceChristoffersen, P., Errunza, V., and Jacobs, K., J. X. (2010). Is the potential for international diversification disappearing? Discussion Paper, University of Toronto, 1:1–41.
dc.sourceCowan, A. and Joutz, F. (2006). An unobserved component model of asset pricing across financial markets. International Review of Financial Analysts, 15:86–107.
dc.sourceDas, S. and Uppal, R. (2004). Systemic risk and international portfolio choice. Journal of Finance, 59(6):2809–2834.
dc.sourceDriessen, J. and Laeven, L. (2007). International portfolio diversifi- cation benefits: Cross-country evidence from a local perspective. Journal of Banking & Finance, 31(6):1693–1712.
dc.sourceEngle, R. (2002). Dynamic conditional correlation: A simple class of multivariate garch models. Journal of Business and Economic Statistics, 20:339–350.
dc.sourceEngle, R. and Kroner, K. (1995). Multivariate simultaneous generalized arch. Econometric Theory, 11:122–150.
dc.sourceGallali, M. and Kilani, B. (2010). Stock markets volatility and international diversification. Journal of Business Studies Quarterly, 1(4):21–34.
dc.sourceGranger, C. and Terasvirta, T. (1993). Modelling Nonlinear Economic RelationshipsGranger1993. Oxford University Press.
dc.sourceGuidolin, M. and Timmermann, A. (2008). International asset allocation under regime switching, skew and kurtosis preferences. Review of Financial Studies, 21(2):889–935.
dc.sourceIsakov, D. and Barras, L. (2003). How to diversify internationally? a comparison of conditional and unconditional asset allocation methods. Financial Markets and Portfolio Management, 17:194– 212.
dc.sourceKaplanis, E. and Schaefer, S. (1991). Exchange risk and international diversification in bond and equity portfolios. Journal of Economics and Business, 43:287–307.
dc.sourceKavussanos, M., Marcoulis, S., and Arkoulis, A. (2002). Macroeconomic factors and international industry returns. Applied Financial Economics, 12:923–931.
dc.sourceMSCI (2013). Msci index calculation methodology. Technical report, MSCI Inc.
dc.sourcePagano, M. and Padilla, A. J. (2005). Efficiency gains from the integration of stock exchanges: lessons from the euronext natural experiment. Technical report, A report for Euronext.
dc.sourceTse, Y. and Tsui, A. (2002). A multivariate garch model with timevarying correlations. Journal of Business and Economic Statistics, 20:351–362.
dc.sourceYou, L. and Daigler, R. T. (2010). Is international diversification really beneficial? Journal of Banking & Finance, 34:163173.
dc.sourceinstname:Universidad del Rosario
dc.sourceinstname:Universidad del Rosario
dc.sourcereponame:Repositorio Institucional EdocUR
dc.titleStock return comovements and integration within the Latin American integrated market
dc.typeworkingPaper


Este ítem pertenece a la siguiente institución