Integration Analysis of Latin American Stock Markets 1993-2007

28 Pages Posted: 3 Dec 2007

See all articles by Brian M. Lucey

Brian M. Lucey

Trinity Business School, Trinity College Dublin; Jiangxi University of Finance and Economics; Abu Dhabi University - College of Business Administration; Ho Chi Minh City University of Economics and Finance

Qiyu Zhang

Lancaster University Management School

Date Written: December 2007

Abstract

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.

Keywords: Latin America, cointegration, equity markets, cointegration

JEL Classification: G15

Suggested Citation

Lucey, Brian M. and Zhang, Qiyu, Integration Analysis of Latin American Stock Markets 1993-2007 (December 2007). Available at SSRN: https://ssrn.com/abstract=1047421 or http://dx.doi.org/10.2139/ssrn.1047421

Brian M. Lucey (Contact Author)

Trinity Business School, Trinity College Dublin ( email )

The Sutherland Centre, Level 6, Arts Building
Dublin 2
Ireland
+353 1 608 1552 (Phone)
+353 1 679 9503 (Fax)

Jiangxi University of Finance and Economics ( email )

South Lushan Road
Nanchang, Jiangxi 330013
China

Abu Dhabi University - College of Business Administration ( email )

PO Box 59911
Abu Dhabi, Abu Dhabi 59911
United Arab Emirates

Ho Chi Minh City University of Economics and Finance ( email )

59C Nguyen Dình Chieu
6th Ward, District 3
Ho Chi Minh City, Ho Chi Minh 70000
Vietnam

Qiyu Zhang

Lancaster University Management School ( email )

Bailrigg
Lancaster, LA1 4YX
United Kingdom

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