South American Capital Markets: Statistics of the Past Decade

Abstract

This paper investigates the question of whether there exists evidence in support of convergence in market returns within the South American capital markets and whether these markets are becoming efficient. Both questions are analyzed using time series as well as panel data. A non-parametric approach is used to study market efficiency to account for heteroskedasticity in highly volatile data. We have found support that the returns of Latin American capital markets are converging within selected groups and limiting group mean returns are weak-form efficient.

Keywords: market return differential, convergence, panel data, stationarity, market efficiency