La Integración de los Mercados Bursátiles de América Latina Antes y Durante la Pandemia de la COVID-19

Abstract

This paper studies the dynamics of the levels of integration between Latin American stock markets before and during the COVID-19 pandemic. The methodology is based on the estimation of a time-varying parameter vector autoregression (TVP-VAR) model and the calculation of multiple measures of market connectedness. The main findings show that: 1) the levels of integration between markets increased during the first year of the pandemic; 2) markets tend to be more integrated when they experience losses; 3) the Brazilian and Mexican markets are net transmitters of shocks to the other markets; and, 4) uncertainty about the pandemic had differentiated effects on the levels of market integration. The study uses daily stock returns series from Argentina, Brazil, Chile, Colombia, Mexico and Peru over the period 05/01/2015 to 02/28/2023. The findings are useful for analyzing the financial integration process and for proposing policies to promote financial stability in the region.