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Article
Dynamic relationship between equity prices and macroeconomic conditions: Evidence from emerging markets.
Faculty Publications
  • Bahram Adrangi
  • Kambiz Raffiee
  • Todd M. Shank
SelectedWorks Author Profiles:

Todd M. Shank

Document Type
Article
Publication Date
2001
Date Issued
January 2001
Date Available
February 2012
Disciplines
Abstract

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.

Comments
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),
Language
en_US
Publisher
University of Southern Indiana - College of Business
Creative Commons License
Creative Commons Attribution-Noncommercial-No Derivative Works 4.0
Citation Information
Adrangi, B., Raffiee, K. & Shank, T.M. (2001). Dynamic relationship between equity prices and macroeconomic conditions: Evidence from emerging markets. Global Business & Finance Review, 6(2),