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On the linkages between equity markets in Latin America

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  • Jose Pagan
  • Gokce Soydemir

Abstract

This paper utilizes a VAR model to analyse the extent of interdependency of equity markets in Latin America. The results from estimating impulse response functions suggest that there are strong linkages between the equity markets of Mexico and the US, and weaker but significant linkages between the stock markets of Argentina, Brazil and Chile. These cross-country differences in transmission patterns may result from country-specific differences in both the financial market structure as well as economic fundamentals.

Suggested Citation

  • Jose Pagan & Gokce Soydemir, 2000. "On the linkages between equity markets in Latin America," Applied Economics Letters, Taylor & Francis Journals, vol. 7(3), pages 207-210.
    • Handle: RePEc:taf:apeclt:v:7:y:2000:i:3:p:207-210
    DOI: 10.1080/135048500351816
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    Citations

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    Cited by:

    1. Andrew C. Worthington & Helen Higgs, 2003. "Tests of random walks and market efficiency in Latin American stock markets: An empirical note," School of Economics and Finance Discussion Papers and Working Papers Series 157, School of Economics and Finance, Queensland University of Technology.
    2. Pagan, Jose A. & Soydemir, Gokce A., 2001. "Response asymmetries in the Latin American equity markets," International Review of Financial Analysis, Elsevier, vol. 10(2), pages 175-185.
    3. Escobari, Diego & Garcia, Sergio & Mellado, Cristhian, 2017. "Identifying bubbles in Latin American equity markets: Phillips-Perron-based tests and linkages," Emerging Markets Review, Elsevier, vol. 33(C), pages 90-101.
    4. Chuliá, Helena & Guillén, Montserrat & Uribe, Jorge M., 2017. "Spillovers from the United States to Latin American and G7 stock markets: A VAR quantile analysis," Emerging Markets Review, Elsevier, vol. 31(C), pages 32-46.
    5. Boubaker, Sabri & Jouini, Jamel & Lahiani, Amine, 2016. "Financial contagion between the US and selected developed and emerging countries: The case of the subprime crisis," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 14-28.
    6. Tom JACOB & LITTLEFLOWER P. J, 2022. "Cointegration and stock market interdependence: Evidence from India and selected Asian and African stock markets," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(4(633), W), pages 133-146, Winter.
    7. Mihir Dash, 2017. "A Study of Granger Causality in Latin American Stock Markets," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 6(2), pages 82-88, May.
    8. Jae-Kwang Hwang, 2014. "Spillover Effects of the 2008 Financial Crisis in Latin America Stock Markets," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 20(3), pages 311-324, August.
    9. Araújo, Eurilton, 2009. "Macroeconomic shocks and the co-movement of stock returns in Latin America," Emerging Markets Review, Elsevier, vol. 10(4), pages 331-344, December.
    10. Andres Rivas & Rahul Verma & Antonio Rodriguez & Pedro Albuquerque, 2023. "The Increasing Impact of Spain on the Equity Markets of Brazil, Chile and Mexico," Post-Print hal-04524989, HAL.
    11. Andrés Rivas & Rahul Verma & Antonio Rodriguez & Pedro H. Albuquerque, 2005. "Do European Stock Markets Affect Latin American Stock Markets?," Finance 0512017, University Library of Munich, Germany.
    12. Josea. Pagan & Sukhjit Sethi & Gokce Soydemir, 2001. "The impact of promotion/advertising expenditures on citrus sales," Applied Economics Letters, Taylor & Francis Journals, vol. 8(10), pages 659-663.
    13. Mr. Srideep D Ganguly & Roberto Benelli, 2007. "Financial Linkages Between the U.S. and Latin America: Evidence from Daily Data," IMF Working Papers 2007/262, International Monetary Fund.
    14. Davila, Alberto & Pagan, Jose A. & Soydemir, Gokce, 2002. "The short-term and long-term deterrence effects of INS border and interior enforcement on undocumented immigration," Journal of Economic Behavior & Organization, Elsevier, vol. 49(4), pages 459-472, December.
    15. Sandoval Paucar, Giovanny, 2018. "Efectos de desbordamiento sobre los mercados financieros de Colombia. Identificación a través de la heterocedasticidad [Spillovers effects on financial markets of Colombia. Identification through h," MPRA Paper 90422, University Library of Munich, Germany.
    16. Sheng-Yung Yang, 2007. "Inter-day return and volatility dynamics between Japanese ADRs and their underlying securities," Applied Financial Economics, Taylor & Francis Journals, vol. 17(10), pages 837-853.
    17. Verma, Rahul & Ozuna, Teofilo, 2005. "Are emerging equity markets responsive to cross-country macroeconomic movements?: Evidence from Latin America," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(1), pages 73-87, January.
    18. Mahfuzul Haque & Imen Kouki, 2009. "Effect of 9/11 on the conditional time-varying equity risk premium: evidence from developed markets," Journal of Risk Finance, Emerald Group Publishing, vol. 10(3), pages 261-276, May.
    19. Fernanda G Barba & Paulo S Ceretta, 2011. "Risk transmission between Latin America stock markets and the US: impacts of the 2007/2008 Crisis," Economics Bulletin, AccessEcon, vol. 31(2), pages 1025-1037.
    20. Juan Manuel Candelo-Viafara & Andrés Felipe Oviedo-Gómez, 2020. "Efecto derrame del mercado internacional en las economías latinoamericanas: los casos de Chile, Brasil, Colombia y México," Apuntes del Cenes, Universidad Pedagógica y Tecnológica de Colombia, vol. 39(70), pages 107-138, July.

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