Guidi, Francesco ORCID: https://orcid.org/0000-0002-2682-189X, Madonia, Giuseppina and Sarwar, Sohan ORCID: https://orcid.org/0000-0003-3060-887X (2025) Equity market linkages across Latin American countries. Global Finance Journal. ISSN 1044-0283 (Print), 1873-5665 (Online) (doi:10.1016/j.gfj.2025.101107)

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Abstract

Equity market linkages are of interest to international investors aiming at diversifying their equity portfolio holdings. In fact, the benefit of equity portfolio diversification across different international markets depends on whether markets are integrated or segmented. To discern whether there are any potential benefits to diversification, we investigate the degree of integration across the equity markets of selected Latin American countries (that is, Argentina, Brazil, Chile, Colombia and Peru) by applying dynamic and static cointegration techniques to the largest equity markets of that region. Our aim is to find out whether these equity markets enjoy a long-run relationship as a whole, at the sectoral level, or if they follow different trends. We use weekly equity prices between 2005 and 2023, which marked the end of the Covid-19 pandemic. Our findings suggest that the equity markets are not, as a whole, integrated – with the exception of periods of financial distress. This indicates that there is some potential for international portfolio diversification across Latin American equity markets. On the other hand, our sectoral analysis points to specific diversification opportunities across most of the sectors.

Item Type:	Article
Uncontrolled Keywords:	equity markets, integration, structural break, Latin America
Subjects:	H Social Sciences > H Social Sciences (General) H Social Sciences > HB Economic Theory H Social Sciences > HC Economic History and Conditions
Faculty / School / Research Centre / Research Group:	Greenwich Business School Greenwich Business School > Political Economy, Governance, Finance and Accountability (PEGFA) Journal of Economic Literature Classification > Political Economy, Governance, Finance and Accountability (PEGFA) Greenwich Business School > School of Accounting, Finance and Economics
Last Modified:	02 Apr 2025 09:11
URI:	http://gala.gre.ac.uk/id/eprint/50149

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