Researcher ORCID Identifier
https://orcid.org/0000-0003-2337-6708
Graduation Year
2021
Date of Submission
5-2021
Document Type
Campus Only Senior Thesis
Degree Name
Bachelor of Arts
Department
Economics
Reader 1
Angela Vossmeyer
Abstract
Modeling the U.S.’s, Canada’s and several Latin American countries’ market index returns with an auto-regressive time series model estimated by equation-by-equation OLS, this paper focuses on the significant estimate coefficients which represent the influence that the countries modeled have over each other across various subperiods throughout the past two decades. The countries in the American continent have experienced many historical economic shocks, most being worldwide events, which have changed their economic relations and support. Focusing on Argentina, Brazil, Canada, Chile, Colombia, Mexico, Peru, United States and Uruguay, I find that overall, most countries tend to be independent but do have periods of time where they develop an interdependence with another countries index returns. In addition, Colombia is consistently influenced by others and the United States does not have as big of an impact over others as one would intuitively expect.
Recommended Citation
Madero, Patricio, "Latin American Stock Market Interdependence: A Dynamic Fluctuation Across Time" (2021). CMC Senior Theses. 2693.
https://scholarship.claremont.edu/cmc_theses/2693
This thesis is restricted to the Claremont Colleges current faculty, students, and staff.
