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

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Todd M. Shank

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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.


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),




University of Southern Indiana - College of Business

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