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Modelling the linkages between US and Latin American stock markets

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dc.contributor.author Fernández-Serrano, José Luis
dc.contributor.author Sosvilla-Rivero, Simón
dc.date.accessioned 2016-08-26T06:35:08Z
dc.date.available 2016-08-26T06:35:08Z
dc.date.issued 2003
dc.identifier.citation Fernández-Serrano, J. L., & Sosvilla-Rivero, S. (2003). Modelling the linkages between US and Latin American stock markets. Applied Economics, 35(12), 1423-1434. spa
dc.identifier.issn 00036846
dc.identifier.uri http://hdl.handle.net/11268/5698
dc.description.abstract This paper examines the linkages between US and Latin American stock markets during the 1995-2002 period using recently developed cointegration techniques that allow for structural shifts in the long-run relationship. Results suggest that when conventional cointegration tests are applied, a long-run relationship is found only in the cases of Brazil and Mexico for the Dow Jones (DJ) index, and in the case of Brazil for the Standard and Poor's 500 (SP500) index. In contrast, if the possibility of structural breaks is introduced, strong evidence is found in favour of such a relationship between the Argentine, Chilean and Venezuelan indices and the DJ index after the 1998 financial turmoil, and between the Brazilian and Mexican indices and the DJ index before such turbulence, while some marginal cointegration is detected between the Mexican and DJ indices from February 1998. Additionally, evidence is found of a cointegrating relationship between the Argentine, Chilean and Mexican indices and the SP500 index from August 1998, April 1999 and October 1999, respectively, and between the Brazilian and the SP500 indices before November 1997, as well as some marginal cointegration between the Mexican and SP500 indices before October 1999. The results suggest that the gains from international diversification for investors with long holding periods is limited. spa
dc.description.sponsorship SIN FINANCIACIÓN spa
dc.language.iso eng spa
dc.title Modelling the linkages between US and Latin American stock markets spa
dc.type article spa
dc.description.impact 0.200 JCR (2003) Q4, 151/169 Economics spa
dc.identifier.doi 10.1080/0003684032000100409
dc.rights.accessRights openAccess spa
dc.subject.uem Relaciones económicas internacionales spa
dc.subject.uem Mercado financiero spa
dc.subject.unesco Comercio internacional spa
dc.subject.unesco Economía de mercado spa
dc.description.filiation UEM spa
dc.peerreviewed Si spa


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