Guidi, Francesco ORCID: https://orcid.org/0000-0002-2682-189X, Madonia, Giuseppina and Sarwar, G (Sohan) ORCID: https://orcid.org/0000-0003-3060-887X (2022) International linkages across South America equity markets: a cross-country and cross-industry analysis. [Working Paper] (Unpublished)

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Abstract

Over the last 20 years, South America equity markets have been going thorough periods of booms and busts as a mirror of the underlying economies they represent. A common element of many South American countries is that their economies are commodities driven one. Therefore, other sectors either support or benefits of commodities prices changes. This might result in Latin America stock markets following the same trend over the long period. Considering this specific aspect of the Latin American economies, the goal of this paper is to investigate whether South American equity markets followed the same trend over the period 2005-2019. Either following the same trend or falling apart would be an information of relevant importance in order to determine whether opportunities for international portfolio equity diversification exist in the region from the viewpoint of international investors. Therefore, by using weekly data, in this paper we investigated whether there was any evidence of long-run co-movements at industry and country-level across South America equity markets.

Item Type:	Working Paper
Additional Information:	This paper was presented at the Banking and Finance Research group seminar that took place on Wednesday 6th April 2022 at the University of Greenwich.
Uncontrolled Keywords:	equity markets, multivariate cointegration, diversification
Subjects:	H Social Sciences > HB Economic Theory H Social Sciences > HC Economic History and Conditions
Faculty / School / Research Centre / Research Group:	Faculty of Business Faculty of Business > Department of International Business & Economics Faculty of Business > Institute of Political Economy, Governance, Finance and Accountability (IPEGFA) Greenwich Business School > School of Accounting, Finance and Economics Greenwich Business School > Political Economy, Governance, Finance and Accountability (PEGFA)
Last Modified:	02 Dec 2024 16:08
URI:	http://gala.gre.ac.uk/id/eprint/36151

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