Emerging Markets Integration in Latin America (MILA) Stock market indicators: Chile, Colombia, and Peru

Bolaños, Edmundo R. Lizarzaburu; Burneo, Kurt; Galindo, Hamilton; Berggrun, Luis

doi:10.1016/j.jefas.2015.08.002

Cited by 26 publications

(12 citation statements)

References 19 publications

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“…Among studies in the regional context is Bolañosa et al (2015), which focuses on the impact of MILA on profitability (return), risk, correlation, and market size. Overall, this study, which was conducted during the early stages of MILA, corroborates Lizarzaburu et al (2015). Their findings suggest that MILA did not have an impact on both returns and volatility in the regional context.…”

Section: Literaturesupporting

confidence: 79%

“…As stated in Dorodnyk (2014), stock market integration should be associated with several benefits like improved competitiveness, transparency, information flow, cost efficiency, and accountability. Other studies on the Colombian market have indicated declining returns, but unchanged volatility following MILA (Lizarzaburu et al, 2015), low liquidity (García et al, 2015), as well as negative correlation with other member countries (Espinosa-Mendez et al, 2017). According to Sandoval et al (2015), the Colombian market benefited from MILA as a result of a reduction in systematic risk.…”

Section: Introductionmentioning

confidence: 95%

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The impact of MILA market-maker facility on volatility of the Colombian stock market

Lukanima

Gómez-Bravo

Sanchez-Barrios

2021

Rev. contab. finanç.

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In 2014, the Colombian Stock Exchange commenced the implementation of its market-maker facility (MMF), aiming at improving market efficiency. This paper examines the impact of the MMF program on three volatility-related aspects: volatility persistence, risk premium, and information asymmetry. This paper provides new insights about the anticipated outcomes of Mercados Integrados Latinoamericanos (MILA) reforms, specifically the MMF on the volatility of the Colombian stock market. This topic has not been fully addressed in the existing literature. This study, therefore, provides useful information for regulators and policy makers, in endeavors to address key issues raised during the World Economic Forum (WEF) of 2016. This paper poses a challenge to policy makers and stock market regulators in Colombia to revisit the reform program and address the factors limiting the effectiveness of market reforms. This paper provides justification for replicating the study to cover other MILA countries due to existing differences in some domestic market policies and structures. The paper employs conditional variance models for measuring volatility persistence, risk premia, and information asymmetry. The models are employed on the COLCAP stock index (Colombia) observed from January 17, 2008 to May 30, 2019. Observations are divided into two samples - pre- and post-MMF. This paper provides evidence of the impacts of the MMF reforms in the Colombian stock market. Specifically, the MMF seems to have an impact on the following aspects: (i) the magnitude in which current returns depend on previous returns has increased; (ii) investment portfolio returns, which are generally low, have declined after the MMF, leading to less risk compensation; (iii) the MMF does not seem to have affected the volatility of market returns and information asymmetry; (iv) volatility persistence increased in magnitude.

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Section: Literaturesupporting

confidence: 79%

Section: Introductionmentioning

confidence: 95%

The impact of MILA market-maker facility on volatility of the Colombian stock market

Lukanima

Gómez-Bravo

Sanchez-Barrios

2021

Rev. contab. finanç.

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“…La integración financiera en el MILA es de interés académico, entre otras explicaciones, porque un mercado bursátil sólido promueve el desarrollo comercial -a través de mayores alternativas de inversión y financiamiento-, ofrece una mayor presencia y visibilidad de las emisoras (Sandoval et al 2015) y mejora las perspectivas de inversión extranjera (Bolaños, Burneo, Galindo y Berggrun 2015;Orozco-Álvarez y Ramírez-López, 2016). Otras razones son la reducción de costos de transacción (Sandoval y Soto, 2016), el incremento de las correlaciones en los rendimientos accionarios (Espinosa et al, 2017;Santillán, Massa y Reyna, 2017), las posibilidades de arbitraje (García y Rosso, 2016;Gil, 2020), los altos niveles de volatilidad y desajustes financieros, entre otros aspectos (Martínez et al 2012;Vargas y Bayardo, 2013).…”

Section: Relaciones Entre Los Mercados Del Milaunclassified

“…La evidencia sobre las relaciones entre los mercados del MILA incluye estudios de casos, que aseguran que el proceso de integración ha propiciado modificaciones en la intermediación financiera (corretaje) en el mercado de Colombia (Yepes, Gonzales y González, 2015). Mediante el análisis gráfico de tendencias, Bolaños et al (2015) concluyen que el volumen presenta un balance negativo, así como un efecto marginal en la rentabilidad. Gil (2020), al utilizar simulación de operaciones bursátiles, sugiere un limitado avance de la integración caracterizado por asimetrías importantes en rentabilidad, capitalización, nivel de concentración, ente otros aspectos.…”

Section: Relaciones Entre Los Mercados Del Milaunclassified

Medición y análisis de los spillovers entre el S&P500 y los mercados del MILA antes y durante la expansión inicial de la pandemia por COVID-19

2021

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En el presente artículo se estudian los spillovers (derrames) entre el S&P500 y el Mercado Integrado Latinoamericano para verificar si el inicio de la epidemia por COVID-19 y el entorno de ese momento cambiaron la dinámica de su nivel de conectividad. Usando la metodología propuesta por Diebold y Yilmaz se estimaron y analizaron índices de spillovers, desde y hacia, los mercados de Estados Unidos y del Mercado Integrado Latinoamericano. Los resultados confirman la existencia de spillovers provenientes del S&P500, sin que hayan sido mayores que los que se presentaron durante los años previos a 2020, con excepción del mercado mexicano, que recibió una mayor influencia. Los resultados pueden ser útiles para orientar decisiones de financiamiento e inversión en los mercados bursátiles de la región en el Mercado Integrado Latinoamericano.

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“…Furthermore, Durham (2004) claimed that it would depend on the absorption ability of each country. Net trading value by foreign investors is an indicator of their capital in equity market and the international integration ability of stock mar-ket as well (Bolanos, Burneo, Galindo, & Berggrun, 2015).…”

Section: Economic Growth and Stock Marketmentioning

confidence: 99%

Stock market, real estate market, and economic growth: an ARDL approach

Nguyen

Bui

2019

Investment Management and Financial Innovations

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The paper investigates the correlation between stock market, real estate market, and economic growth in Vietnam, which is an emerging country. Quarterly data in Vietnam from the third quarter of 2004 to the third quarter of 2018 were utilized. By using the Autoregressive Distributed Lag (ARDL) approach, the results reveal that economic growth is positively associated with stock market and real estate market. An unprecedented finding of this study is that economic growth (GDP) is more correlated to stock market efficiency (SME) than net trading value by foreign investors (FI). Moreover, global financial crisis (GFC) exerts a negative impact on economic growth and real estate market in Vietnam. Further, net trading value by foreign investors (FI) also negatively influences real estate market (REM) in the short term. The study has greatly succeeded in giving first empirical evidence on the relationship between stock market, real estate market, and economic growth in Vietnam. More than that, the results show the key role of global financial crisis in this correlation. The findings are valuable to economies around the world, especially bringing a practical and meaningful value to developing countries like Vietnam.

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Emerging Markets Integration in Latin America (MILA) Stock market indicators: Chile, Colombia, and Peru

Cited by 26 publications

References 19 publications

The impact of MILA market-maker facility on volatility of the Colombian stock market

The impact of MILA market-maker facility on volatility of the Colombian stock market

Medición y análisis de los spillovers entre el S&P500 y los mercados del MILA antes y durante la expansión inicial de la pandemia por COVID-19

Stock market, real estate market, and economic growth: an ARDL approach

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