Uncovering the Common Features of Latin American Eurobonds Issued in International Markets

Posted: 25 Aug 2008

See all articles by Kannan S. Thuraisamy

Kannan S. Thuraisamy

Deakin University - Faculty of Business and Law

Gerard L. Gannon

Deakin University - School of Accounting, Economics and Finance

Date Written: August 25, 2008

Abstract

This paper uncovers the common stochastic trends that are present in the US dollar denominated sovereign Eurobonds issued by major Latin American economies in international markets. We employ Johansen's and a modified three step procedure, which can account for common volatility effects, to capture these features. The latter procedure provides estimates of portfolio allocation weights for the stochastic components. The bonds are grouped by maturities across different markets in the Latin American region. Pre and post Argentinean default samples are independently investigated. The analysis uncovers significant links that exist across assets and markets. The study provides new evidence on the behaviour of international bonds issued by emerging markets.

Keywords: Common stochastic trend, Latin America, Long-run dynamics, Sovereign bonds

JEL Classification: G15, G12

Suggested Citation

Thuraisamy, Kannan S. and Gannon, Gerard L., Uncovering the Common Features of Latin American Eurobonds Issued in International Markets (August 25, 2008). 21st Australasian Finance and Banking Conference 2008 Paper, Available at SSRN: https://ssrn.com/abstract=1254542 or http://dx.doi.org/10.2139/ssrn.1254542

Kannan S. Thuraisamy (Contact Author)

Deakin University - Faculty of Business and Law ( email )

Burwood, Victoria 3215
Australia

Gerard L. Gannon

Deakin University - School of Accounting, Economics and Finance ( email )

221 Burwood Highway
Burwood, Victoria 3215
Australia

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