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Fredj JAWADI, Nicolas MILLION and Mohamed El hédi Arouri
 
''Stock market integration in the Latin American markets: further evidence from nonlinear modeling''
( 2009, Vol. 29 No.1 )
 
 
This article studies the financial integration between the six main Latin American markets and the US market in a nonlinear framework. Using the threshold cointegration techniques of Hansen and Seo (2002), we show significant threshold stock market linkages between Mexico, Chile and the US. Thus, the dynamics of these markets depends simultaneously on local and global risk factors. More importantly, our results show an on-off threshold financial integration process that is activated only when the stock price adjustment exceeds some level.
 
 
Keywords:
JEL: C2 - Single Equation Models; Single Variables: General
G1 - General Financial Markets: General (includes Measurement and Data)
 
Manuscript Received : Nov 14 2008 Manuscript Accepted : Feb 22 2009

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