Correlation in price changes and volatility of major Latin American stock markets

This paper assesses the existence of the size effect on the most important stock markets in Latin America (Argentina, Brazil, Chile, Colombia, Mexico and Peru) for the period between 2002 and 2012, using the cross-section contrast methodology of the size effect in the CAPM context. Results show that there is reversed effect in some of the Latin American markets.

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A study of co-movements between U.S. and Latin American stock markets: A cross-bicorrelations perspective

DYNA ◽

10.15446/dyna.v83n196.49737 ◽

2016 ◽

Vol 83 (196) ◽

pp. 143-148 ◽

Cited By ~ 3

Author(s):

Semei Coronado-Ramirez ◽

Omar Rojas-Altamirano ◽

Rafael Romero-Meza ◽

Francisco Venegas-Martínez

Keyword(s):

Stock Market ◽

Latin American ◽

Stock Markets ◽

Nonlinear Dependence ◽

Standard And Poor's ◽

Non Linear ◽

Market Indexes

<p>This work applies a test that detects dependence between pairs of variables. The kind of dependence is a non-linear one, and the test is known as cross-bicorrelation, which is associated with Brooks and Hinich [1]. We study dependence periods between U.S. Standard and Poor's 500 (SP500), used as a benchmark, and six Latin American stock market indexes: Mexico (BMV), Brazil (BOVESPA), Chile (IPSA), Colombia (COLCAP), Peru (IGBVL) and Argentina (MERVAL). We have found windows of nonlinear dependence and comovement between the SP500 and the Latin American stock markets, some of which coincide with periods of crisis, leading to an interpretation of a possible contagion or interdependence.</p>

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Testing for Overreaction and Return Continuations in Stock Price Index Returns

International Journal of Strategic Decision Sciences ◽

10.4018/jsds.2010040105 ◽

2010 ◽

Vol 1 (2) ◽

pp. 93-112 ◽

Cited By ~ 10

Author(s):

Nathan Lael Joseph ◽

Khelifa Mazouz

Keyword(s):

Market Efficiency ◽

Stock Markets ◽

Stock Price ◽

Price Index ◽

Abnormal Returns ◽

Market Size ◽

Price Shocks ◽

Price Changes ◽

Stock Indices ◽

Initial Results

In this paper, the authors examine the impacts of large price changes (or shocks) on the abnormal returns (ARs) of a set of 39 national stock indices. Their initial results support returns continuations for both positive and negative shocks in line with prior results. After controlling for market size, their findings provide support for over-reaction, return continuations and market efficiency, but these result depend on the magnitude of the price shocks. Whilst the market is efficient when the positive shocks are large, the market also over-reacts when negative shocks are large. To illustrate, for large stock markets that are more liquid, positive shocks of more than 5% generate an insignificant day one CAR of -0.004%, whilst negative shocks of more than 5% generate a positive and significant day one CAR of 0.662%. In contrast, positive (negative) shocks of less than 5% generate a significant one day CAR of 0.119% (-0.174%) for these same (large) stock markets.

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Volatility Transmission between US and Latin American Stock Markets: Testing the Decoupling Hypothesis

SSRN Electronic Journal ◽

10.2139/ssrn.2733342 ◽

2015 ◽

Author(s):

Laura Cardona ◽

Marcela Gutiirrez ◽

Diego Agudelo

Keyword(s):

Latin American ◽

Stock Markets ◽

Volatility Transmission

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Political Risk in Latin American Stock Markets: A Rational Expectations Approach

The Changing Environment of International Financial Markets ◽

10.1007/978-1-349-23161-4_13 ◽

1994 ◽

pp. 160-185

Author(s):

Benoit Carmichael ◽

Jean-Claude Cosset ◽

Klaus P. Fischer

Keyword(s):

Latin American ◽

Stock Markets ◽

Rational Expectations ◽

Political Risk

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An Investigation of the Relationship between Risk and Return: The Case of the Latin American Stock Markets

Accounting and Finance Research ◽

10.5430/afr.v3n1p9 ◽

2013 ◽

Vol 3 (1) ◽

Cited By ~ 2

Author(s):

Chikashi Tsuji

Keyword(s):

Latin American ◽

Stock Markets ◽

Risk And Return ◽

The Relationship

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An Analysis of Stock Return Transmission in North and Latin America

International Journal of Business Administration ◽

10.5430/ijba.v10n6p14 ◽

2019 ◽

Vol 10 (6) ◽

pp. 14

Author(s):

Chikashi Tsuji

Keyword(s):

Latin America ◽

Stock Returns ◽

Latin American ◽

Stock Markets ◽

Stock Return ◽

The Other ◽

Var Model ◽

Recent Period ◽

The Us ◽

Standard Vector

This study empirically examines the return transmission effects between the four North and Latin American stock markets in the US, Canada, Brazil, and Mexico. More specifically, applying a standard vector autoregression (VAR) model, we obtain the following interesting findings. First, (1) the return transmission effects between the four North and Latin American stock markets became much tighter in our second subsample period. Second, (2) in particular, US and Mexican stock markets are strong return transmitters in the recent period. Furthermore, (3) both in our first and second subsample periods, Brazilian stock returns do not transmit to the other three stock returns, although the other three North and Latin American stock markets affect the Brazilian stock market.

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