A Cointegration Analysis Of Latin American Stock Markets And The Us PDF Download
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Author | : Rene Sanchez Valle |
Publisher | : |
Total Pages | : 15 |
Release | : 1998 |
Genre | : |
ISBN | : |
Download A Cointegration Analysis of Latin American Stock Markets and the U.S. Book in PDF, ePub and Kindle
This paper investigates the long run relationship between four major Latin American stock markets (Argentina, Brazil, Chile and Mexico) and the United States for the period 1976-1998. Using Johansen's multivariate cointegration analysis, we find a stationary long run relationship between the stock indices during the 1976-1998 period, and also during the post-October 1987 stock market crash period (1987-1998). No stationary relationship was found during the pre-crash period (1976-1987). Finally, an important role is played by the markets' degree of development and cooperation among themselves.
Author | : Brian M. Lucey |
Publisher | : |
Total Pages | : 28 |
Release | : 2009 |
Genre | : |
ISBN | : |
Download Integration Analysis of Latin American Stock Markets 1993-2007 Book in PDF, ePub and Kindle
This paper studies the time varying relationships between seven Latin America stock markets, the United States and a regional benchmark. Our interest is motivated by the completion of financial liberalization across major Latin America countries in the early 1990s. Starting with correlation analysis, we find relatively strong short-term co-movements between larger Latin America markets and the regional benchmark and U.S. market. We extend our analysis by applying a number of cointegration tests to examine the long-term equilibrium relations. The results are strongly in agreement that the Latin America equity markets have not become integrated either within the region or the United States, which suggests long-run diversification benefits to U.S and other international investors. Two recursive analyses are also implemented to unveil the dynamics of the regional and international integration.
Author | : Eva R. Porras |
Publisher | : |
Total Pages | : 32 |
Release | : 2014 |
Genre | : |
ISBN | : |
Download A Test of Cointegration between Security Markets of Latin American Nations, the NYSE and the Dow Jones Indices Book in PDF, ePub and Kindle
This study uses cointegration tests to examine the relationships among the stock markets of Argentina, Brazil, Chile, Colombia, Mexico, Peru, Venezuela and the NYSE and Dow Jones Indexes. The goal of this paper to test whether cointegration exists between the stock market index of each of the mentioned developing nations, and the US stock market. Previous studies have shown that unit roots occur in stock price series, in accordance with rational expectations and efficient markets under certain assumptions. Two-to-eight daily lags and two-to-twelve monthly lags are examined. Unit roots in stocks prices are found. Our results also show that there is monthly and daily cointegration between the NYSE and the Dow Jones Indices and the security markets of Mexico and Venezuela, and no cointegration with the stock markets of Argentina, Brazil, Chile, Colombia, and Peru.
Author | : Alejandro Islas-Camargo |
Publisher | : |
Total Pages | : 232 |
Release | : 2000 |
Genre | : Cointegration |
ISBN | : |
Download On the Measurement of Stock Market Co-movement Book in PDF, ePub and Kindle
Author | : Alejandro Islas-Camargo |
Publisher | : |
Total Pages | : 78 |
Release | : 2000 |
Genre | : Cointegration |
ISBN | : |
Download A Fractional Cointegration Analysis of the Long Run Relationship Between Stock Price Indices Book in PDF, ePub and Kindle
Author | : Eva Raquel Porras González |
Publisher | : |
Total Pages | : 28 |
Release | : 2004 |
Genre | : |
ISBN | : |
Download A Test of Cointegration Between Security Markets of Latin American Nations, the NYSE and the Dow Jones Indice Book in PDF, ePub and Kindle
Author | : Yochanan Shachmurove |
Publisher | : |
Total Pages | : 28 |
Release | : 1997 |
Genre | : |
ISBN | : |
Download Portfolio Analysis of Latin American Stock Markets Book in PDF, ePub and Kindle
Author | : Isabel Ruiz |
Publisher | : |
Total Pages | : |
Release | : 2008 |
Genre | : |
ISBN | : |
Download Long Run Trends and Exchange Rates in Latin America Book in PDF, ePub and Kindle
Using daily data for the 1994-2005 period, this paper investigates the linkages and long-run trends among 14 Latin American countries. Specifically, we employ cointegration analysis to test for common stochastic trends across countries, among areas and over different periods of time. The evidence suggests a pattern of integration among Latin American countries and across some subregional areas (i.e. Mercosur). In particular, most countries have a long-run equilibrium relationship with the Brazilian real.
Author | : Hari Sharma |
Publisher | : |
Total Pages | : 100 |
Release | : 2008 |
Genre | : |
ISBN | : |
Download Remittances and Growth in Latin America Book in PDF, ePub and Kindle
Author | : Luis Serven |
Publisher | : World Bank Publications |
Total Pages | : 432 |
Release | : 2004-11-15 |
Genre | : Political Science |
ISBN | : 0821383744 |
Download Lessons from NAFTA Book in PDF, ePub and Kindle
Analyzing the experience of Mexico under the North American Free Trade Agreement (NAFTA), 'Lessons from NAFTA' aims to provide guidance to Latin American and Caribbean countries considering free trade agreements with the United States. The authors conclude that the treaty raised external trade and foreign investment inflows and had a modest effect on Mexico's average income per person. It is likely that the treaty also helped achieve a modest reduction in poverty and an improvement in job quality. This book will be of interest to scholars and policymakers interested in international trade and development.