{"id":8737,"date":"2022-07-27T06:32:53","date_gmt":"2022-07-27T06:32:53","guid":{"rendered":"https:\/\/depocen.org\/publications\/the-comovements-in-international-stock-markets-new-evidence-from-latin-american-emerging-countries\/"},"modified":"2022-07-27T06:32:53","modified_gmt":"2022-07-27T06:32:53","slug":"the-comovements-in-international-stock-markets-new-evidence-from-latin-american-emerging-countries","status":"publish","type":"publications","link":"https:\/\/depocen.org\/en\/publications\/the-comovements-in-international-stock-markets-new-evidence-from-latin-american-emerging-countries\/","title":{"rendered":"The Comovements in International Stock Markets: New evidence from Latin American Emerging Countries."},"content":{"rendered":"<p>We analyze the time-variations of conditional correlations between selected Latin American emerging markets<br \/>\nand between them and the World stock market to further shed light on the issues of capital market integration<br \/>\nand portfolio diversification. The cross-market correlations are empirically estimated from the Engle<br \/>\n(2002)&acute;s DCC-GARCH model. Bai and Perron (2003)&acute;s structural break analysis technique is also employed<br \/>\nto test for possibly changing nature of stock market comovements. Main findings of the paper are as follows.<br \/>\nFirst, the degree of cross-market comovements changed over time and has significantly increased since 1994<br \/>\nand onwards, which is to the large extent informative of increasing market integration. Despite the significant<br \/>\ninterdependencies among the studied markets, room for international portfolio diversification nevertheless<br \/>\nseems largely possible. Second, it is demonstrated that the cross-market comovements are subjected to various<br \/>\nregime shifts due essentially to major stock market events. Finally, the purpose that stock markets move<br \/>\nmuch more together in times of crisis than in normal times can not be rejected according to our empirical evidence.<\/p>\n","protected":false},"featured_media":0,"template":"","cate_publications":[],"author_publications":[1564,1565,1566,1567,1568,1569],"topic_publications":[],"class_list":["post-8737","publications","type-publications","status-publish","hentry","author_publications-mohamed-el-hedi-arouri","author_publications-mondher-bellalah","author_publications-duc-khuong-nguyen","author_publications-mohamed-el-hedi-arouri-en","author_publications-mondher-bellalah-en","author_publications-duc-khuong-nguyen-en"],"acf":[],"_links":{"self":[{"href":"https:\/\/depocen.org\/en\/wp-json\/wp\/v2\/publications\/8737","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/depocen.org\/en\/wp-json\/wp\/v2\/publications"}],"about":[{"href":"https:\/\/depocen.org\/en\/wp-json\/wp\/v2\/types\/publications"}],"wp:attachment":[{"href":"https:\/\/depocen.org\/en\/wp-json\/wp\/v2\/media?parent=8737"}],"wp:term":[{"taxonomy":"cate_publications","embeddable":true,"href":"https:\/\/depocen.org\/en\/wp-json\/wp\/v2\/cate_publications?post=8737"},{"taxonomy":"author_publications","embeddable":true,"href":"https:\/\/depocen.org\/en\/wp-json\/wp\/v2\/author_publications?post=8737"},{"taxonomy":"topic_publications","embeddable":true,"href":"https:\/\/depocen.org\/en\/wp-json\/wp\/v2\/topic_publications?post=8737"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}