Stock return comovements and integration within the Latin American integrated market

Financial 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 int...

Descripción completa

Detalles Bibliográficos
Autores Principales: Castro, Carlos, Marín, Nini Johana
Formato: Documento de trabajo (Working Paper)
Lenguaje:Inglés (English)
Publicado: Universidad del Rosario 2014
Materias:
Acceso en línea:http://repository.urosario.edu.co/handle/10336/10804
id ir-10336-10804
recordtype dspace
institution EdocUR - Universidad del Rosario
collection DSpace
language Inglés (English)
topic Comercio internacional (Comercio exterior)
Economía
Integración económica
Integración económica internacional
Desarrollo económico
comovements
correlation
market integration
spellingShingle Comercio internacional (Comercio exterior)
Economía
Integración económica
Integración económica internacional
Desarrollo económico
comovements
correlation
market integration
Castro, Carlos
Marín, Nini Johana
Stock return comovements and integration within the Latin American integrated market
description Financial 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.
format Documento de trabajo (Working Paper)
author Castro, Carlos
Marín, Nini Johana
author_facet Castro, Carlos
Marín, Nini Johana
author_sort Castro, Carlos
title Stock return comovements and integration within the Latin American integrated market
title_short Stock return comovements and integration within the Latin American integrated market
title_full Stock return comovements and integration within the Latin American integrated market
title_fullStr Stock return comovements and integration within the Latin American integrated market
title_full_unstemmed Stock return comovements and integration within the Latin American integrated market
title_sort stock return comovements and integration within the latin american integrated market
publisher Universidad del Rosario
publishDate 2014
url http://repository.urosario.edu.co/handle/10336/10804
_version_ 1645142156550078464
spelling ir-10336-108042019-09-19T12:37:01Z Stock return comovements and integration within the Latin American integrated market Castro, Carlos Marín, Nini Johana Comercio internacional (Comercio exterior) Economía Integración económica Integración económica internacional Desarrollo económico comovements correlation market integration Financial 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. 2014 2015-09-17T11:33:13Z info:eu-repo/semantics/workingPaper info:eu-repo/semantics/acceptedVersion Castro, C., & Marín, N. J. (2014). Stock return comovements and integration within. Bogotá: Universidad del Rosario. http://repository.urosario.edu.co/handle/10336/10804 Editorial Universidad del Rosario eng info:eu-repo/semantics/openAccess application/pdf Universidad del Rosario Facultad de Economía instname:Universidad del Rosario reponame:Repositorio Institucional EdocUR instname:Universidad del Rosario A., L. and K., S. (2011). U.s. and latin american stock market linkages. Journal of International Money and Finance, 30:13411357. Ang, A. and Bekaert, G. (2002). International asset allocation with regime shifts. Review of Financial Studies, 15(4):1137–1187. Bekaert, G., Hodrick, R., and Zhang, X. (2009). International stock comovements. Journal of Finance, 64(6):2591–2626. Berger, D., Pukthuanthong, K., and Yang, J. (2011). International diversification with frontier markets. Journal of Financial Economics, 101:227–242. Bruneau, C. and Caicedo-Llano, J. (2006). Comovements of international equity markets and financial integration measures. Working Paper, 1:1–45. Bruneau, C. and Caicedo-llano, J. (2009). Co-movements of international equity markets: a large-scale factor model approach. Economics Bulletin, 29:1484–1500. Caporin, M. and McAleer, M. (2013). Ten things you should know about dcc. Working Paper. Cappiello, 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. Chelley-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. Chiou, W. (2008). Who benefits more from international diversifi- cation? Journal of International Financial Markets, Institutions, and Money, 18:466482. Christoffersen, P., Errunza, V., and Jacobs, K., J. X. (2010). Is the potential for international diversification disappearing? Discussion Paper, University of Toronto, 1:1–41. Cowan, A. and Joutz, F. (2006). An unobserved component model of asset pricing across financial markets. International Review of Financial Analysts, 15:86–107. Das, S. and Uppal, R. (2004). Systemic risk and international portfolio choice. Journal of Finance, 59(6):2809–2834. Driessen, 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. Engle, R. (2002). Dynamic conditional correlation: A simple class of multivariate garch models. Journal of Business and Economic Statistics, 20:339–350. Engle, R. and Kroner, K. (1995). Multivariate simultaneous generalized arch. Econometric Theory, 11:122–150. Gallali, M. and Kilani, B. (2010). Stock markets volatility and international diversification. Journal of Business Studies Quarterly, 1(4):21–34. Granger, C. and Terasvirta, T. (1993). Modelling Nonlinear Economic RelationshipsGranger1993. Oxford University Press. Guidolin, M. and Timmermann, A. (2008). International asset allocation under regime switching, skew and kurtosis preferences. Review of Financial Studies, 21(2):889–935. Isakov, 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. Kaplanis, E. and Schaefer, S. (1991). Exchange risk and international diversification in bond and equity portfolios. Journal of Economics and Business, 43:287–307. Kavussanos, M., Marcoulis, S., and Arkoulis, A. (2002). Macroeconomic factors and international industry returns. Applied Financial Economics, 12:923–931. MSCI (2013). Msci index calculation methodology. Technical report, MSCI Inc. Pagano, 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. Tse, Y. and Tsui, A. (2002). A multivariate garch model with timevarying correlations. Journal of Business and Economic Statistics, 20:351–362. You, L. and Daigler, R. T. (2010). Is international diversification really beneficial? Journal of Banking & Finance, 34:163173.
score 12,131701