Long memory linkages amongst Latin American stock markets: a fractional cointegration approach

• José Carlos Vides ^[1]
  1. [1] Universidad Complutense de Madrid

     Universidad Complutense de Madrid

     Madrid, España

     
• Localización: Revista española de financiación y contabilidad, ISSN 0210-2412, Vol. 51, Nº 1, 2022, págs. 77-101
• Idioma: inglés
• DOI: 10.1080/02102412.2021.1992867
• Texto completo no disponible (Saber más ...)
• 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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