Title

Dynamic relationship between equity prices and macroeconomic conditions: Evidence from emerging markets.

SelectedWorks Author Profiles:

Todd M. Shank

Document Type

Article

Publication Date

2001

Date Issued

January 2001

Date Available

February 2012

Abstract

In this paper we consider two emerging equity markets of Chile and Mexico. The purpose is to examine the responses of equity prices to macroeconomic shocks and policy changes. Employing cointegration test and impulse response analysis, the degree of weak form efficiency in these markets is also examined. Our findings indicate that although equity markets of Mexico and Chile are becoming increasingly more efficient in incorporating the past information, they do not reflect shocks to macroeconomic conditions rapidly. Empirical findings also show that the equity market of Chile has achieved higher degree of efficiency than the equity market of Mexico. These findings have implications for individual and institutional investors in the U.S. and domestic policy makers of these markets.

Comments

Abstract only. At this time, full-text article is available only through licensed access provided by the publisher. Published in Global Business & Finance Review, 6(2),

Language

en_US

Publisher

University of Southern Indiana - College of Business

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

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