Title

Equity market integration in Latin America: A time-varying integration score analysis

Abstract

We develop a measure of market integration score by extending the methodology of Akdogan to reflect the degree of integration of domestic equity markets with other markets in and beyond the region. We empirically estimate the integration scores for a sample of six Latin American markets between January 1988 and December 2001. We find a trend towards increased regional integration relative to global integration until the mid-1990s. A distinct change in trend is noted during the second half of the 1990s, with global integration proceeding faster than regional integration.

Department(s)

Economics

Document Type

Article

DOI

https://doi.org/10.1016/j.irfa.2004.02.019

Keywords

regional integration, global integration, time-varying integration

Publication Date

2004

Journal Title

International Review of Financial Analysis

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