Modelling the sovereign linkages of key Latin American economies

Thuraisamy, Kannan; Gannon, Gerard

doi:10.1016/j.intfin.2012.08.002

Journal of International Financial Markets, Institutions and Mo

2013

DOI: 10.1016/j.intfin.2012.08.002

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Modelling the sovereign linkages of key Latin American economies

Kannan Thuraisamy

Gerard Gannon

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Cited by 4 publications

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References 41 publications

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“…See the following for recent studies on market segmentation and completeness:Li, 2013;Jacobs et al 2013;Thuraisamy and Gannon, 2013;Mishra and Ratti, 2013: Cakici et al 2013;Sugimoto et al 2014;Erdem and Varli, 2014;Guyot et al 2014.…”

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confidence: 99%

Time Varying Asian Stock Market Integration

Batten

Morgan

Szilagyi

2015

Singapore Econ. Rev.

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We employ an asset pricing framework with varying estimation lengths to show that there has been an increasing degree of integration between Asian and international stock markets, but very little with Japan. This finding is consistent with prior studies and highlights the impact of recent regulatory and economic reform undertaken throughout the region. Our results show that instability in the asset variance structure underpins the observed varying degrees of financial market integration. In particular, modeling integration using shorter estimation periods helps explain the time varying nature of financial market integration and the benefits that may accrue to international and domestic investors.

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confidence: 99%

Time Varying Asian Stock Market Integration

Batten

Morgan

Szilagyi

2015

Singapore Econ. Rev.

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Intra-market sovereign linkages of key Latin American markets

Thuraisamy

2014

Economic Systems

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Sovereign risk and the impact of crisis: Evidence from Latin America

Batten

Gannon²,

Thuraisamy

2017

Journal of Banking & Finance

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Modelling the sovereign linkages of key Latin American economies

Cited by 4 publications

References 41 publications

Time Varying Asian Stock Market Integration

Time Varying Asian Stock Market Integration

Intra-market sovereign linkages of key Latin American markets

Sovereign risk and the impact of crisis: Evidence from Latin America

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