A Cointegration Analysis of Latin American Stock Markets and the U.S.

15 Pages Posted: 15 May 1998

Date Written: May 1998

Abstract

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

Sanchez Valle, Rene, A Cointegration Analysis of Latin American Stock Markets and the U.S. (May 1998). Available at SSRN: https://ssrn.com/abstract=86604 or http://dx.doi.org/10.2139/ssrn.86604

Rene Sanchez Valle (Contact Author)

University of Exeter ( email )

School of Business and Economics
Arquimedes 77, Apt. 102 Col. Polanco
Mexico, D.F., 11560

Register to save articles to
your library

Register

Paper statistics

Downloads
1,257
rank
14,970
Abstract Views
5,418
PlumX Metrics
!

Under construction: SSRN citations while be offline until July when we will launch a brand new and improved citations service, check here for more details.

For more information