Macroeconomic shocks and the co-movement of stock returns in Latin America

作者：Araujo Eurilton^*

来源：Emerging Markets Review, 2009, 10(4): 331-344.

DOI：10.1016/j.ememar.2009.08.003

• Real stock returns
• Structural shocks
• Co-movement

This paper studies the economic sources underlying the co-movement of real stock returns in Latin America. Following the literature on structural vector autoregressive models (SVARs), I use long-run restrictions to identify three structural shocks: demand, supply, and portfolio shocks. For some countries, portfolio shocks are important factors behind real stock returns. Furthermore, these shocks seem to be important in explaining cross-country co-movement patterns. However, these findings are not statistically strong due to the degree of uncertainty about the estimates of the importance of each structural shock and the cross-correlation coefficients. Therefore, macroeconomic shocks (supply and demand) cannot be neglected in accounting for the dynamics of real stock returns.

• 出版日期2009-12