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Do European Stock Markets Affect Latin American Stock Markets?

Author

Listed:
  • Andrés Rivas

    (Texas A&M International University)

  • Rahul Verma

    (University of Houston, Downtown)

  • Antonio Rodriguez

    (Texas A&M International University)

  • Pedro H. Albuquerque

    (Texas A&M International University)

Abstract

In this study, we examine the response of Latin American stock markets to movements in European stock markets using VAR models. Our results vary depending on the openness of the country in terms of international trade. We find evidence that Latin American stock markets are responsive to changes in the stock market from Spain. Additionally, during the second and third subperiods, Spain has much stronger ties with Brazil, and this might explain why Brazil responds more to the shocks originating from Spain than from France. In conclusion, this study uncovers two important findings. First, Spain influences Latin American markets but these responses are not homogeneous across markets. Second, the influence of Spain has different magnitude in the three subperiods.

Suggested Citation

  • 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.
    • Handle: RePEc:wpa:wuwpfi:0512017
    Note: Type of Document - pdf; pages: 41
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    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/fin/papers/0512/0512017.pdf
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Emerging Markets; Latin America; Stock Markets Interdependence; VAR;
    All these keywords.

    JEL classification:

    • F30 - International Economics - - International Finance - - - General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • O54 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - Latin America; Caribbean
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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