Location of Repository

Stock market integration in the Latin American markets: further evidence from nonlinear modeling

By Fredj JAWADI, Nicolas MILLION and Mohamed El hédi Arouri


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.

OAI identifier:

Suggested articles



  1. (2007). Characterizing World Market Integration through
  2. (1987). Cointegration and Error Correction: Representation,
  3. (1995). Comovements in national stock market returns: Evidence of predictability, but not cointegration”
  4. (1996). Efficient Tests for an Autoregressive Unit Root”
  5. (2003). Integration using time-varying integration score: the case of
  6. (2001). Long and short term dynamic causal transmission amongst international stock markets”
  7. (2001). Potential pitfalls for the PPP puzzle? Sampling and specification biases in mean reversion tests of the LOOP”
  8. (2002). Stock market integration: evidence on price integration return convergence”
  9. (2002). Testing for two-regime threshold cointegration in vector error correction models”
  10. (1989). Tests for Unit Roots: A Monte-Carlo Investigation”
  11. (2001). Threshold Cointegration and Nonlinear Adjustment to the Law of One Price”
  12. (1995). Time Varying World Market Integration”,

To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.