Macroeconomic Shocks and the Co-movement of Stock Returns in Latin America

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dc.contributor.authorAraújo, Eurilton
dc.coverage.cidadeSão Paulopt_BR
dc.coverage.paisBrasilpt_BR
dc.creatorAraújo, Eurilton
dc.date.accessioned2023-07-14T02:54:48Z
dc.date.available2023-07-14T02:54:48Z
dc.date.issued2008
dc.description.otherThis paper studies the economic sources underlying the co-movement of real stock returns in Latin America. Following the literature on Structural Vector Autoregressive Models (SVARs) using long-run restrictions, three structural shocks are identified: demand, supply and portfolio shocks. First, I document the pervasive co-movement of real stock returns in Latin America by means of simple correlations. Second, for each country, I asses the importance of each structural shock in explaining real stock return dynamics. Third, I identify which shocks are driving the observed co-movement in Latin American real stock returns. Results show that, for the majority of countries, portfolio shocks are the main driving force behind real stock returns. Furthermore, that shock is also extremely important in explaining co-movement patterns in Latin American stock markets. In addition, macroeconomic shocks (supply and demand) are unimportant and weakly correlated across countries, suggesting financial integration without economic integration in Latin America.pt_BR
dc.format.extent25 p.pt_BR
dc.format.mediumDigitalpt_BR
dc.identifier.issueBEWP 045/2008
dc.identifier.urihttps://repositorio.insper.edu.br/handle/11224/5772
dc.language.isoInglêspt_BR
dc.publisherInsperpt_BR
dc.publisherIBMEC São Paulopt_BR
dc.relation.ispartofseriesInsper Working Paperpt_BR
dc.rights.licenseO INSPER E ESTE REPOSITÓRIO NÃO DETÊM OS DIREITOS DE USO E REPRODUÇÃO DOS CONTEÚDOS AQUI REGISTRADOS. É RESPONSABILIDADE DO USUÁRIO VERIFICAR OS USOS PERMITIDOS NA FONTE ORIGINAL, RESPEITANDO-SE OS DIREITOS DE AUTOR OU EDITORpt_BR
dc.subject.keywordsreal stock returnspt_BR
dc.subject.keywordsstructural shockspt_BR
dc.subject.keywordsco-movementpt_BR
dc.titleMacroeconomic Shocks and the Co-movement of Stock Returns in Latin Americapt_BR
dc.typeworking paper
dspace.entity.typePublication
local.subject.cnpqCiências Sociais Aplicadaspt_BR
local.typeWorking Paperpt_BR

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