Abstract
This article aims to study the issue of short- and long-term stock market integration in two of Latin America's biggest emerging economies – Mexico and Argentina – with the US stock market using multivariate cointegration tools. Our study covers a period of two decades and shows strong evidence of Argentina and Mexico's short-term financial dependence on the US market. However, our results show no long-term linkages between the markets studied, indicating that Mexican and Argentinean stock markets are governed more by their fundamentals in the long term.
Notes
1Results of unit root tests are not presented in detail but are available upon request addressed to the corresponding author.
2The US Foreign Direct Investments in Argentina consist of 44% whereas those in Mexico are about 54%.
3The details of the determination of lag number are not reported here but are available upon request.
4See Hamilton (Citation1994) for more details.