文章基本信息

标题：Stock market integration in the Latin American markets: further evidence from nonlinear modeling
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作者：Fredj JAWADI ; Nicolas MILLION ; Mohamed El hédi Arouri 等
期刊名称：Economics Bulletin
电子版ISSN：1545-2921
出版年度：2009
卷号：29
期号：1
页码：162-168
出版社：Economics Bulletin
摘要：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