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Title: Financial markets of the LAC region: does the crisis influence the financial integration?
Authors: Dias, Rui
Dionísio, Andreia
Vidigal da Silva, Jacinto
Keywords: Financial integration
Emerging Markets
Long memory
Risk diversification
Issue Date: 2019
Publisher: Elsevier
Citation: Dias, R., Dionísio, A. e Silva, J.V. (2019) “Financial markets of the LAC region: does the crisis influence the financial integration?”. International Review of Financial Analysis, 63: 160-173. (
Abstract: This paper aims to analyse financial integration in the emerging markets of Latin America in the context of the dot-com and subprime financial crises. To do so, different approaches were adopted to answer two questions, namely: (i) the financial markets of Latin America show significant levels of integration in periods of financial crisis? and (ii) if there are persistent long memories in the data series, will portfolio risk diversification be called into question? The results obtained suggest that the markets are partially integrated in crisis and non-crisis periods. In addition, financial series do not present significant persistent long memories arising from the subprime crisis. The 2008 crisis was found to have a greater impact on the cross correlation coefficients of the Latin American stock markets than the dot-com crisis. In terms of conclusion, it is considered that the financial markets of Latin America were affected by the dot-com and subprime crises. However, there was a re-balance in these regional markets which could create conditions for possible diversification strategies.
Type: article
Appears in Collections:CEFAGE - Publicações - Artigos em Revistas Internacionais Com Arbitragem Científica

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