The Linkages between Major Latin American Stock Markets and its Implications

被引：0

作者：

Wu, Liguang ^{[1
]}

Zhao, Hua ^{[1
]}

机构：

[1] Jinan Univ, Sch Econ, Guangzhou, Guangdong, Peoples R China

来源：

2011 INTERNATIONAL CONFERENCE ON APPLIED SOCIAL SCIENCE (ICASS 2011), VOL V | 2011年

关键词：

Latin America; stock market linkages; VAR model; international diversification;

D O I：

暂无

中图分类号：

C [社会科学总论];

学科分类号：

03 ; 0303 ;

摘要：

This paper examines the linkages between major Latin American stock markets and their linkages with the US stock market by using the monthly data between 1997 and 2009 on the basis of Vector Autoregressive (VAR) model. The results from impulse responses suggest that there are strong linkages between stock markets of Mexico and the US, as well as Argentine and Brazil, but weaker linkages between Argentine, Brazil and the US. This implies that investing in a regional portfolio with both US and Argentina or Brazilian stocks will gain more diversification benefits than investing either in a portfolio with both US and Mexican stocks or a portfolio with only Argentine and Brazilian stocks.

引用

页码：181 / 186

页数：6