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- W2024465059 abstract "ABSTRACT In this paper, we study the co-movements of the U.S., Argentine, Brazilian, Chilean, and Mexican equity markets during the October 12, 1998-March 24, 2000 bull market and the March 24, 2000-September 10, 2001 bear market. We find that these five markets are more closely correlated and, therefore, there is less diversification benefit to global investors during the bear market than during the bull market. Our findings, using rolling correlation analysis, indicate that the most volatile U.S. correlation coefficient is with Chile, both in the bull market and in the bear market. The U.S. correlation coefficient with Mexico is more stable (i.e., more predictable) during the bull market than during the bear market. However, the U.S. correlation coefficients with Argentina and Chile are less stable (i.e., less predictable) during the bull market than during the bear market. The degree of stability (i.e., predictability) of the U.S.-Brazilian correlation coefficient is about the same, both in the bull ma..." @default.
- W2024465059 created "2016-06-24" @default.
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- W2024465059 date "2004-01-08" @default.
- W2024465059 modified "2023-09-26" @default.
- W2024465059 title "Co-Movements of U.S. and Latin American Equity Markets in Bull and Bear Markets" @default.
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- W2024465059 doi "https://doi.org/10.1300/j140v04n02_05" @default.
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