Equity market integration in Latin America: A time-varying integration score analysis
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.
regional integration, global integration, time-varying integration
Barari, Mahua. "Equity market integration in Latin America: A time-varying integration score analysis." International Review of Financial Analysis 13, no. 5 (2004): 649-668.