Long memory linkages amongst Latin American stock marketsa fractional cointegration approach

  1. José Carlos Vides 1
  1. 1 Universidad Complutense de Madrid
    info

    Universidad Complutense de Madrid

    Madrid, España

    ROR 02p0gd045

Revista:
Revista española de financiación y contabilidad

ISSN: 0210-2412

Año de publicación: 2022

Volumen: 51

Número: 1

Páginas: 77-101

Tipo: Artículo

DOI: 10.1080/02102412.2021.1992867 DIALNET GOOGLE SCHOLAR

Otras publicaciones en: Revista española de financiación y contabilidad

Resumen

This paper examines long-run relationships amongst six Latin American stock markets as possible evidence for their economic development, by using fractional cointegration which is applied to monthly observations for the period September 2002 to November 2019. Additionally, a novel summary table is proposed in an exhaustive way, which attempts to help to understand the puzzle of market integration around the different economic regions of the world. Hereby, the analysis suggests that there are four cointegrating vectors among the six equity markets, suggesting that Latin American stock markets are not fully nor perfectly integrated.

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