On the linkages between equity markets in Latin America

Abstract

This paper utilizes a VAR model to analyse the extent of interdependency of equity markets in Latin America. The results from estimating impulse response functions suggest that there are strong linkages between the equity markets of Mexico and the US, and weaker but significant linkages between the stock markets of Argentina, Brazil and Chile. These cross-country differences in transmission patterns may result from country-specific differences in both the financial market structure as well as economic fundamentals.