Stock market interrelationships in the Latin American Integrated Market (MILA): a VAR approach to short-term dynamics (2015–2022)
Introduction: This study is part of the analysis of the Latin American Integrated Market (MILA) made up of the Peruvian, Chilean and Colombian stock exchanges since 2011, and expanded in 2014 with the incorporation of Mexico. Objective: The main objective is to analyze the behavior of the stock mark...
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Universidad de Nariño
2025-07-01
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| Series: | Tendencias |
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| Online Access: | https://revistas.udenar.edu.co/index.php/rtend/article/view/9622 |
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| author | Luis Enrique Cayatopa-Rivera Héctor Javier Bendezú-Jiménez |
| author_facet | Luis Enrique Cayatopa-Rivera Héctor Javier Bendezú-Jiménez |
| author_sort | Luis Enrique Cayatopa-Rivera |
| collection | DOAJ |
| description | Introduction: This study is part of the analysis of the Latin American Integrated Market (MILA) made up of the Peruvian, Chilean and Colombian stock exchanges since 2011, and expanded in 2014 with the incorporation of Mexico. Objective: The main objective is to analyze the behavior of the stock market indices of the MILA member countries and the dynamics of their interrelationship. Methodology: Indices were normalized, stationarity was evaluated using the Augmented Dickey-Fuller test (ADF), the Johansen cointegration test was applied, and a VAR in differences was estimated to analyze the interactions between stock indices. The period of analysis covers from 2015 to 2022. Results: The series were non-stationary at level and integrated in order one. No evidence of cointegration was found between MILA indices, nor in subsets. The VAR model showed significant short-term relationships, especially between the Mexican Index of Prices and Quotations (IPC), the General Index of the Lima Stock Exchange (IGBVL), the Selective Stock Price Index (IPSA) and the Colombian Capitalization Index (COLCAP). Impulse-response analyses confirmed transient interdependencies. Conclusions: There is no long-term stock market integration between the MILA markets. However, significant short-term interactions are detected. This suggests the transmission of shocks and common reactions to external events, with implications for regional diversification and more effective financial integration policies. |
| format | Article |
| id | doaj-art-6b3c4f8601934b0c85d07416e8e38f9a |
| institution | Matheson Library |
| issn | 0124-8693 2539-0554 |
| language | English |
| publishDate | 2025-07-01 |
| publisher | Universidad de Nariño |
| record_format | Article |
| series | Tendencias |
| spelling | doaj-art-6b3c4f8601934b0c85d07416e8e38f9a2025-07-23T20:11:09ZengUniversidad de NariñoTendencias0124-86932539-05542025-07-0126213616110.22267/rtend.252602.2789903Stock market interrelationships in the Latin American Integrated Market (MILA): a VAR approach to short-term dynamics (2015–2022)Luis Enrique Cayatopa-Rivera0https://orcid.org/0000-0002-6359-2125Héctor Javier Bendezú-Jiménez1https://orcid.org/0000-0001-9530-6472Universidad Católica Sedes SapientiaeUniversidad Nacional Mayor de San MarcosIntroduction: This study is part of the analysis of the Latin American Integrated Market (MILA) made up of the Peruvian, Chilean and Colombian stock exchanges since 2011, and expanded in 2014 with the incorporation of Mexico. Objective: The main objective is to analyze the behavior of the stock market indices of the MILA member countries and the dynamics of their interrelationship. Methodology: Indices were normalized, stationarity was evaluated using the Augmented Dickey-Fuller test (ADF), the Johansen cointegration test was applied, and a VAR in differences was estimated to analyze the interactions between stock indices. The period of analysis covers from 2015 to 2022. Results: The series were non-stationary at level and integrated in order one. No evidence of cointegration was found between MILA indices, nor in subsets. The VAR model showed significant short-term relationships, especially between the Mexican Index of Prices and Quotations (IPC), the General Index of the Lima Stock Exchange (IGBVL), the Selective Stock Price Index (IPSA) and the Colombian Capitalization Index (COLCAP). Impulse-response analyses confirmed transient interdependencies. Conclusions: There is no long-term stock market integration between the MILA markets. However, significant short-term interactions are detected. This suggests the transmission of shocks and common reactions to external events, with implications for regional diversification and more effective financial integration policies.https://revistas.udenar.edu.co/index.php/rtend/article/view/9622var modelcointegrationfinancial integrationemerging marketsfinancial marketsmila |
| spellingShingle | Luis Enrique Cayatopa-Rivera Héctor Javier Bendezú-Jiménez Stock market interrelationships in the Latin American Integrated Market (MILA): a VAR approach to short-term dynamics (2015–2022) Tendencias var model cointegration financial integration emerging markets financial markets mila |
| title | Stock market interrelationships in the Latin American Integrated Market (MILA): a VAR approach to short-term dynamics (2015–2022) |
| title_full | Stock market interrelationships in the Latin American Integrated Market (MILA): a VAR approach to short-term dynamics (2015–2022) |
| title_fullStr | Stock market interrelationships in the Latin American Integrated Market (MILA): a VAR approach to short-term dynamics (2015–2022) |
| title_full_unstemmed | Stock market interrelationships in the Latin American Integrated Market (MILA): a VAR approach to short-term dynamics (2015–2022) |
| title_short | Stock market interrelationships in the Latin American Integrated Market (MILA): a VAR approach to short-term dynamics (2015–2022) |
| title_sort | stock market interrelationships in the latin american integrated market mila a var approach to short term dynamics 2015 2022 |
| topic | var model cointegration financial integration emerging markets financial markets mila |
| url | https://revistas.udenar.edu.co/index.php/rtend/article/view/9622 |
| work_keys_str_mv | AT luisenriquecayatoparivera stockmarketinterrelationshipsinthelatinamericanintegratedmarketmilaavarapproachtoshorttermdynamics20152022 AT hectorjavierbendezujimenez stockmarketinterrelationshipsinthelatinamericanintegratedmarketmilaavarapproachtoshorttermdynamics20152022 |