The Evolution of Stock Market Integration in the Post-Liberalization Period - a Look at Latin America

47 Pages Posted: 7 Sep 2004

Abstract

I use ADRs to examine if the equity markets of Argentina, Chile, and Mexico have become internationally integrated in the post-liberalization period and, if not, whether direct and/or indirect barriers are the cause of segmentation. In addition, I assess the evolution of the level of integration over time to determine if these markets are converging to or diverging from integration. I find that these markets have not become integrated. More revealing is that there is no secular trend towards greater integration. In fact, the Brazilian and Mexican currency crises temporarily increased the level of segmentation of Argentina and Chile, and appear to have had a more persistent effect on the level of integration of Mexico, as this market has become increasingly segmented in the post-crisis period. It appears that both direct and indirect barriers are responsible for the segmentation.

Keywords: Emerging markets, integration, liberalization, price of risk, systematic risk, ADR

JEL Classification: C32, F30, G12, G15

Suggested Citation

Hunter, Delroy M., The Evolution of Stock Market Integration in the Post-Liberalization Period - a Look at Latin America. Available at SSRN: https://ssrn.com/abstract=586541

Delroy M. Hunter (Contact Author)

University of South Florida ( email )

Dept of Finance, Muma College of Business
4202 E. Fowler Ave, BSN3403
Tampa, FL 33620
United States
(813) 843-2085 (Phone)
(813) 974-3084 (Fax)

HOME PAGE: http://www.usf.edu/business/contacts/hunter-delroy.aspx

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