The comovements in international stock markets: new evidence from Latin American emerging countries
Year: 2009
Type: article
Abstract: We analyse the time variations in the comovements of Latin American stock markets. Conditional correlations are estimated from the dynamic conditional correlation GARCH model. Then, Bai and Perron's (2003) structural break technique is employed to test for changing nature of market comovements. Main findings are as follows. First, the degree of cross-market comovements changed over time and has significantly increased since 1994. However, room for international diversification still remains largely possible. Second, the comovements are subjected to various regime shifts, essentially due to major economic events. Finally, stock markets move much more together in times of crisis.
Source: Applied Economics Letters
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W1993660705