We analyze the time-variations of conditional correlations between selected Latin American emerging markets and between them and the World stock market to further shed light on the issues of capital market integration and portfolio diversification. Main findings of the paper are as follows.

First, the degree of cross-market comovements changed over time and has significantly increased since and onwards, which is to the large extent informative of increasing market integration.

Despite the significant interdependencies among the studied markets, room for international portfolio diversification nevertheless seems largely possible. Second, it is demonstrated that the cross-market comovements are subjected to various regime shifts due essentially to major stock market events. Finally, the purpose that stock markets move much more together in times of crisis than in normal times can not be rejected according to our empirical evidence.

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Related research [Other version s available] Keywords: Stock market comovements ; Latin American emerging markets ; Multivariate GARCH models ; Structural breaks ; Other versions of this item: New Evidence From Latin American Emerging Countries ," Working Papers halshs, HAL. New Evidence from Latin American Emerging Countries ," Post-Print halshs, HAL. Find related papers by JEL classification: F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications G15 - Financial Economics - - General Financial Markets - - - International Financial Markets References References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Has the EMU any impact?

Representation, estimation, and testing ," Applied Econometrics , Publishing House "SINERGIA PRESS", vol. Representation, Estimation, and Testing ," Econometrica , Econometric Society, vol.

Evidence from the ICAPM ," Journal of Economics and Business , Elsevier, vol. An Investigation of U. Measuring Stock Market Comovements ," Journal of Finance , American Finance Association, vol. Measuring Stock Market Co-movements ," NBER Working Papers , National Bureau of Economic Research, Inc.

Harvey, Campbell R, A Theory Of Market Equilibrium Under Conditions Of Risk ," Journal of Finance , American Finance Association, vol.

Evidence of predictability, but not cointegration ," Journal of Monetary Economics , Elsevier, vol. Experience of Emerging Economies] ," The Journal of Business , University of Chicago Press, vol. Sims, Christopher A, Experience of Emerging Economies ," The Journal of Business , University of Chicago Press, vol.

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Granger, C W J, RATS procedure to perform multiple structural change analysis ," Statistical Software Components RTS, Boston College Department of Economics. RATS procedure to perform Bai-Perron Test for Multiple Structural Changes ," Statistical Software Components RTS, Boston College Department of Economics. Vihang R Errunza, Karolyi, G Andrew, Full references including those not matched with items on IDEAS Citations Citations are extracted by the CitEc Project , subscribe to its RSS feed for this item.

Experience of the Republic of Korea ," ADBI Working Papers , Asian Development Bank Institute. A Dynamic Correlation Analysis of the Creation of the Latin American Integrated Market ," MPRA Paper , University Library of Munich, Germany. Statistical Mechanics and its Applications , Elsevier, vol.

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Log in now much improved! The Comovements in International Stock Markets: New Evidence from Latin American Emerging Countries. Author info Abstract Bibliographic info Download info Related research References Citations Lists Statistics Corrections.

Mohamed El Hedi Arouri LEO, University of Orleans Mondher Bellalah University of Cergy-Pontoise Duc Khuong Nguyen ISC Paris School of Management.

Mondher Bellalah Duc Khuong Nguyen. Paper provided by Development and Policies Research Center DEPOCEN , Vietnam in its series Working Papers with number HTML HTML with abstract plain text plain text with abstract BibTeX RIS EndNote, RefMan, ProCite ReDIF JSON in new window. Related research [Other version s available].

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