Faculty Scholarship 1994 - Present

Co-movements of US and Latin American Equity Markets in Bull and Bear Markets

In this paper, we study the co-movements of the US, Argentine, Brazilian, Chilean and Mexican equity markets during the 10/12/98-3/24/00 bull market and the 3/24/00-9/10/01 bear market. We find that these five markets are closely correlated and, therefore, there is less diversification benefit to global investors during the bear market than during the bull market. (Previously presented at the Financial Management Association 2003 annual conference.)