Latin American stock market dynamics and comovement

Abstract

With the economic relevance of the relationships among emerging and frontier equity markets becoming increasingly significant, this paper investigates comovement among returns from six Latin American stock markets (Mexico [BMV], Brazil [BOVESPA], Chile [IPSA], Peru [IGBVL], Argentina [MERVAL], and Venezuela [IBVC]) and also with the U.S. S&P 500 Composite index. In part, we employ principal component analyses, to account for the maximum portion of the variance present in the returns by examining rolling windows with 8‐, 6‐, 4‐, 3‐, 2‐, and 1‐year periods. We also investigate the incidence of structural breaks and comovement, aiming to uncover the dynamics in comovements among these markets. We find evidence of high comovement among the Latin American markets, and also with the U.S. markets. Venezuela and Mexico's equity markets are at the extremes. However, our results do not corroborate findings of clear evidence, reported in previous studies, of the United States having a leading role in the region.

Stock Market Cointegration and Diversification Opportunities Under Inflation Targeting Regime

“…Also, Geyikci (2017), who studies the diversification opportunities among stock market of Turkey and stock markets of 12 other countries including Brazil, Poland, Hungary, Czech Republic, Thailand, and South Korea concludes that there is long run relationship between those markets. In accordance with our results are Coleman, Leon, & Medeiros (2018), who investigate the co movement and dynamics between Latin American markets such as stock markets of Mexico, Brazil, Chile, Peru, Argentina, and Venezuela. The authors find evidence of co movement among those markets, especially between Mexico and all other stock markets.…”

Mathematical Finance with Applications

“…Fortunato et al (2019) provide evidence of return transmission from the US to the Brazil, Chile, Columbia, Mexico, and Peru equity markets. Coleman et al (2018) find the co-movements between the US and LA (Brazil, Chile, Mexico, Peru, Venezuela, and Argentina) stock markets. Su (2020) reports the dominant risk transmission from the G7 (US, Japan, UK, Germany, France, Italy, and Canada) countries to the BRICS (Brazil, Russia, India, China, and South Africa) stock markets.…”

“…Johnson and Soenen (2003) also suggest that trade increases the financial integration between countries' stock markets. Previously, several studies have examined the spillovers between the US and Latin American stock markets (Meric et al 2001;Arouri et al 2015;Ben Rejeb and Arfaoui 2016;Cardona et al 2017;Gamba-Santamaria et al 2017;Ramirez-Hassan and Pantoja 2018;Yousaf and Ahmed 2018;Fortunato et al 2019;Coleman et al 2018). However, the linkages between the China and Latin American stock markets have not yet been explored, especially during the global financial crisis and the crash of the Chinese stock market.…”

Türki̇ye Ve Di̇ğer G20 Ülkeleri̇ni̇n Hi̇sse Senedi̇ Pi̇yasalarinin Bi̇rli̇kle Hareketi̇: Dalgacik Uyum Anali̇zi̇ Yaklaşimi

“…Literatür incelendiğinde bazı çalışmaların kriz dönemi için ilişkileri, bazı çalışmaların kriz vb. herhangi belirgin özellik göstermeyen dönemler için ilişkileri (Rua ve Nunes 2009, 632-639;Panda, Nanda ve Paital 2019, 314-335;Pretorius 2002, 84-105), bazı çalışmaların ise kriz öncesi ve sonrasındaki ilişkileri inceledikleri görülmektedir (Ercan ve Karahanoğlu 2019, 104-106;Jiang, Nie ve Monginsidi 2017, 384-398;Albulescu, Goyeau ve Tiwari 2015, 19-27;Öztürk 2018, 112;Hatipoğlu ve Sekmen 2016, 24-34;Coleman, Leone ve de Medeiros 2019, 1109-1129Joyo ve Lefen 2019, 302-324;Kao et al 2019Kao et al , 2422Kao et al -2454.…”