CAUSALITY AND COINTEGRATION IN STOCK MARKETS: THE CASE OF LATIN AMERICA
Keywords:
HAART, Síndrome da Imunodeficiência Adquirida, Capacidade FísicaAbstract
This paper analyzes causality and cointegration relationships among stock markets for Latin America and the United States. Within a simple framework causality and cointegration are tested for Argentina, Brazil, Chile, Colombia, Mexico, Peru, Venezuela, and the US. We found no evidence of cointegration among these stock markets but short-term causality could not be rejected. Furthermore, we use impulse-response functions to analyze the impact of shocks in the US stock index (Dow Jones)on Latin American indexes. Evidence suggests that the responses differ signifficantly among these countries. These findings imply that there are valuable opportunities for international investors from diversifying in US and Latin American stocks.Downloads
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