Co-Movements of Latin American Equity Markets Before and After September 11, 2001.

Meric, Ilhan; Ratner, Mitchell; Nygren, LanMa; Meric, Gulser

Empirical studies show that correlation between national equity markets tends to increase and the benefits of global portfolio diversification tend to decrease after events of global importance. A sufficiently long time period has passed since the September 11, 2001 terrorist attacks on the U.S. This time period provides a valuable opportunity to study if these events have changed the long-term co-movement patterns of international equity markets. We test this hypothesis using correlation analysis, principal components analysis and Granger causality statistical techniques by comparing the co-movement patterns of seven Latin American equity markets and the U.S. and Canadian equity markets during the five-year period before September 11 and during the five-year period afterward. Despite the findings of several previous studies on the world's other equity markets, our findings in this study indicate that correlation between the equity markets on the American continent decreased and the benefits of global portfolio diversification in the region increased after September 11, 2001.

UNITED States; LATIN America; SEPTEMBER 11 Terrorist Attacks, 2001; STOCK exchanges; STATISTICAL correlation; FINANCIAL markets; INVESTMENT banking; PORTFOLIO management (Investments); INTERNATIONAL trade; TERRORISM

Latin American Business Review, 2007, Vol 8, Issue 3, p54

1097-8526

Academic Journal

10.1080/10978520802035422