International stock return linkages evidence from latin american markets

Stock market linkages: Evidence from Latin America

Please note that Internet Explorer version 8. Please refer to this blog post for more information. This paper examines long-run relationships between four Latin America stock markets and a mature stock market that of the US. We estimate both the autoregressive and moving average representations of a VAR model as suggested by Johansen [Johansen, S. Statistical analysis of cointegrating vectors, Journal of Economic Dynamics and Control, 12, —, Johansen, S.

Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models, Econometrica, 59, — The main finding of the analysis suggests that there is one long-run relationship among the five equity markets.

The comovements in international stock markets: new evidence from Latin American emerging countries: Applied Economics Letters: Vol 17, No 13

Application of the Gonzalo and Granger [Gonzalo, J. Estimation of common long-memory components in cointegrated systems, Journal of Business and Economic Statistics, 13, 27— Finally, we show that although cointegration exists there are small long-run benefits from international portfolio diversification since the stock prices adjust very slowly to these common trends.

Stock market jobs nz earlier version of tradingview free stock charts paper was presented at seminars at Athens University of International stock return linkages evidence from latin american markets and Business and the University of Crete.

I acknowledge financial making money with yahoo contributor network from PENED under research grant 03ED46 by international stock return linkages evidence from latin american markets General Secretariat for Research and Technology of the Ministry of Development.

I would like to thank without implicating Anastassios Drakos, Dimitris Georgoutsos, George Kouretas and Leonidas Zarangas for many helpful comments and discussions on an earlier draft. Manolis Syllignakis and Minoas Koukouritakis provided excellent research and computational assistance.

Finally, I would also like to thank an anonymous referee for his valuable comments that improved the manuscript substantially. The usual caveat applies. Journals Books Register Sign in Sign in using your ScienceDirect credentials Username.

Forgotten username or password? Sign in via your institution OpenAthens Other institution Recent Institutions. Sign in using your ScienceDirect credentials Username. JavaScript is disabled on your browser. Please enable JavaScript to use all the features on this page. Global Finance Journal Volume 20, Issue 1, Pages International stock market linkages: Author links open the author workspace.

Opens the author workspace Opens the author workspace Department of Business Administration, Athens University of Economics and Business, 76 Patission Street, GR, Athens, Greece. Abstract This paper examines long-run relationships between four Latin America stock markets and a mature stock market that of the US. Keywords Latin America equity markets. Check if you have access through your login credentials or your institution.

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