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.
Dynamic relationship between equity prices and macroeconomic conditions: Evidence from emerging markets.Faculty Publications
Date IssuedJanuary 2001
Date AvailableFebruary 2012
PublisherUniversity of Southern Indiana - College of Business
Creative Commons LicenseCreative Commons Attribution-Noncommercial-No Derivative Works 4.0
Citation InformationAdrangi, 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),