A Cointegration Analysis of Latin American Stock Markets and the U.S.
15 Pages Posted: 15 May 1998
Date Written: May 1998
This paper investigates the long run relationship between four major Latin American stock markets (Argentina, Brazil, Chile and Mexico) and the United States for the period 1976-1998. Using Johansen's multivariate cointegration analysis, we find a stationary long run relationship between the stock indices during the 1976-1998 period, and also during the post-October 1987 stock market crash period (1987-1998). No stationary relationship was found during the pre-crash period (1976-1987). Finally, an important role is played by the markets' degree of development and cooperation among themselves.
JEL Classification: G12
Suggested Citation: Suggested Citation