Integración bursátil en América Latina: un análisis de los mercados en Chile, Perú y Colombia

Carlos Dulio Llanco Rodríguez; Ivonne Yanete Vargas Salazar; Diego Fernando Romero Sanabria; Pablo Itamar Rodriguez Cordova; John C. Edmunds

doi:10.17533/udea.le.n105a360840

Autores/as

Carlos Dulio Llanco-Rodríguez Universidad Nacional Mayor de San Marcos https://orcid.org/0000-0002-3262-5529
Ivonne Yanete Vargas-Salazar Universidad Nacional Mayor de San Marcos https://orcid.org/0000-0002-0836-5309
Diego Fernando Romero-Sanabria Universidad Nacional Mayor de San Marcos https://orcid.org/0000-0002-5819-6937
Pablo Itamar Rodriguez-Cordova Universidad Nacional Mayor de San Marcos https://orcid.org/0009-0004-8115-709X
John C. Edmunds Babson College Wellesley Massachusetts https://orcid.org/0009-0005-7602-162X

DOI:

https://doi.org/10.17533/udea.le.n105a360840

Palabras clave:

finanzas, movimiento de capitales, rentabilidad, mercado financiero, índices

Resumen

Este artículo presenta un análisis de la integración bursátil en Latinoamérica, con un enfoque en Chile, Perú y Colombia. El objetivo principal es determinar la existencia de la integración bursátil entre ellos. Para ello, se ha probado la existencia de vectores de cointegración en los índices bursátiles y de propagación de varianza entre estos países, con un modelo VEC para modelar la ecuación de medida de los retornos y un modelo DCC-GARCH para capturar la dinámica de correlaciones entre los mercados y analizar la propagación del riesgo entre las regiones. Los resultados indican que, los mercados bursátiles latinoamericanos no presentan una tendencia de crecimiento común, esto revela diferencias fundamentales entre ellos que obstaculizan el proceso de integración. Siendo que, Chile y Perú mantienen rendimientos competitivos tanto a nivel internacional como regional, compartiendo ciertas características estadísticas; y en contraste, Colombia ha ido perdiendo su competitividad regional y está obteniendo resultados inferiores.

|Resumen

= 32 veces

Descargas

Los datos de descargas todavía no están disponibles.

Biografía del autor/a

Carlos Dulio Llanco-Rodríguez, Universidad Nacional Mayor de San Marcos

Juan Pérez es bachiller en Economia por la Universidad Nacional Mayor de San Marcos. Actualmente se desempeña como Analista de Inversiones en Grupo Coril SAB. Sus líneas de investigación se centran en la gestion de riesgos, las ciencias de datos aplicadas a las finanzas y los mercados de capitales.

Ivonne Yanete Vargas-Salazar, Universidad Nacional Mayor de San Marcos

Ivonne Yanete Vargas Salazar es docente asociado e investigador de la Universidad Nacional Mayor de San Marcos (UNMSM), miembro del Grupo de Investigación de la UNMSM, docente RENACYT. Magister en Dirección y Gestión Empresarial y Maestro en Project Management. Con experiencia en el ámbito de la tributación, planeamiento, gestión de proyectos, docencia e investigación. Sus líneas de investigación abarcan Economía, Política Económica,Tributación, Dirección y Gestión Empresarial, Project Management, Educación, Ética, Ciencias Sociales.

Diego Fernando Romero-Sanabria, Universidad Nacional Mayor de San Marcos

Diego Fernando Romero Sanabria es Bachiller en Economía con mención en Economía Pública por la Universidad Nacional Mayor de San Marcos. Tiene experiencia como analista económico en sector público. Sus líneas de investigación se centran en finanzas sostenibles, políticas públicas y desarrollo económico.

Pablo Itamar Rodriguez-Cordova, Universidad Nacional Mayor de San Marcos

Pablo Itamar Rodríguez Córdova es Bachiller en Economía por la Universidad Nacional Mayor de San Marcos, con experiencia en el ámbito de la consultoría económica e intereses enfocados en estudios socioeconómicos en Latinoamérica. Sus líneas de investigación abarcan el desarrollo económico, las políticas públicas y la investigación de mercados.

John C. Edmunds, Babson College Wellesley Massachusetts

John C. Edmunds is Professor of Finance at Babson College. He has taught extensively at overseas MBA programs, including Instituto de Empresa in Madrid, Spain, INCAE in Central America and La Universidad Católica Madre y Maestra in the Dominican Republic, and two universities in Chile. He has also taught at other schools in the Boston area, including the Arthur D. Little School of Management, Boston University, the Fletcher School of Law and Diplomacy, Harvard University, Hult International Business School, and Northeastern University. He is a member of the Golden Key Society, and at Hult as well as Arthur D. Little he was voted Professor of the Year. He has lived in six countries and spent eighteen years abroad. He is fluent in Spanish and also speaks French. Dr. Edmunds's areas of interest are international finance, derivatives, capital markets, and emerging markets. He is the author of over 300 articles and cases published both in academic and practitioner journals. He has published five books. Over 150 of his articles are about Latin American capital markets and have been published in Spanish. Six of the most cited are “Financiar a Emprendedores,” Estrategia (Chile), “¿Cayendo al Segundo Lugar?” El Diario Financiero (Chile), “Iberoamérica necesita un Davos propio,” Expansión (Madrid), “Los Nuevos Ricos,” América Economía, “¿Cuándo Emergerá la Bolsa Emergente?” El Diario Financiero (Chile), and “El Valor Escondido de América Latina,” América Economía. Dr. Edmunds holds a D.B.A. in International Business from Harvard Business School, an M.B.A. in Finance and Quantitative Methods with honors from Boston University, an M.A. in Economics from Northeastern University, and an A.B. in Economics cum laude from Harvard College. He has consulted with the Harvard Institute for International Development, the Rockefeller Foundation, Stanford Research Institute, and numerous private companies.

Citas

Basnet, H. and Sharma, S. (2013), “Economic integration in Latin America”, Journal of Economic Integration, Vol. 28 No. 4, pp. 551–579, doi:10.11130/jei.2013.28.4.551.

Baur, D. (2003), “What is co-movement?”, SSRN Electronic Journal, doi:10.2139/ssrn.570585.

Becht, M. (1999), “European corporate governance: Trading off liquidity against control”, European Economic Review, Vol. 43 Nos. 4–6, pp. 1071–1083, doi:10.1016/s0014-2921(98)00115-9.

Botero-Guzmán, D., Vecino-Arenas, C. E., Viana-Barceló, R. A., & Vargas-Villamizar, A. J. (2023). Integración bursátil en los países miembros del Mercado Integrado Latinoamericano (MILA). Revista Gestión y Desarrollo Libre. 8(16) 1-22. https://doi.org/10.18041/2539-3669/gestionlibre.16.2023.10227

Burdekin, R. C. K., & Tao, R. (2025). Chinese vs. US Stock Market Transmission to Australasia, Hong Kong, and the ASEAN Group. Journal of Risk and Financial Management, 18(3), 162. https://doi.org/10.3390/jrfm18030162

Caporale, G., Menla, F. and Spagnolo, N. (2015), “Exchange rate uncertainty and international portfolio flows: A multivariate GARCH-in-mean approach”, Journal of International Money and Finance, Vol. 54, pp. 70–92, doi:10.1016/j.jimonfin.2015.02.020.

Coleman, S., Leone, V. and de Medeiros, O. (2019), “Latin American stock market dynamics and comovement”, International Journal of Finance & Economics, Vol. 24 No. 3, pp. 1109–1129, doi:10.1002/ijfe.1708.

Cruz, J. (2014), MILA: ¿Mejor intermediación latinoamericana? Pontificia Universidad Católica del Perú, available at: http://hdl.handle.net/20.500.12404/5833 (accessed 28 December 2024).

Cueto, D. (2009), “Market liquidity and ownership structure with weak protection for minority shareholders: Evidence from Brazil and Chile”, SSRN Electronic Journal, doi:10.2139/ssrn.1410197.

da Silva, T., Teixeira de Carvalho, O. Noronha, G. and de Melo, A. (2022), “Effects of monetary policy news on financial assets: Evidence from Brazil on a bivariate VAR-GARCH model (2006–17)”, Emerging Markets Review, Vol. 52, p. 100916, doi:10.1016/j.ememar.2022.100916.

de Jong, F. and de Roon, F. (2005), “Time-varying market integration and expected returns in emerging markets”, Journal of Financial Economics, Vol. 78 No. 3, pp. 583–613, doi:10.1016/j.jfineco.2004.10.010.

Delgado-Domonkos, L. and Zeng, A. (2023), “Reporting quality, stock market integration, and investment efficiency in Latin America”, Borsa Istanbul Review, Vol. 23 No. 4, pp. 779–803, doi:10.1016/j.bir.2023.01.012.

Dunne, P. (1999), “Size and book-to-market factors in a multivariate GARCH-in-mean asset pricing application”, International Review of Financial Analysis, Vol. 8 No. 1, pp. 35–52, doi:10.1016/s1057-5219(99)00004-6.

Engle, R. and Issler, J. (1993), “Common trends and common cycles in Latin America”, Revista Brasileira de Economia - RBE, Vol. 47 No. 2, pp. 149–176, available at: https://ideas.repec.org/a/fgv/epgrbe/v47y1993i2a2646.html (accessed 28 December 2024).

Gao, J., Fan, C., Xu, L., Chen, H., Chen, H., & Liang, Z. (2025). Intelligent decision making and risk management in stock index futures markets under the influence of global geopolitical volatility. Omega, 133, 103272. https://doi.org/10.1016/j.omega.2024.103272

Gil-Alana, L., Infante, J. and Martín-Valmayor, M. (2023), “Persistence and long run co-movements across stock market prices”, The Quarterly Review of Economics and Finance: Journal of the Midwest Economics Association, Vol. 89, pp. 347–357, doi:10.1016/j.qref.2022.10.001.

Halkos, G. and Tsirivis, A. (2019), “Effective energy commodity risk management: Econometric modeling of price volatility”, Economic Analysis and Policy, Vol. 63, pp. 234–250, doi:10.1016/j.eap.2019.06.001.

Hargis, K. (2000), “International cross-listing and stock market development in emerging economies”, International Review of Economics & Finance, Vol. 9 No. 2, pp. 101–122, doi:10.1016/s1059-0560(99)00048-9.

Herrero, S. (2016), “El proceso de regionalización latinoamericano ¿aceptar que la cooperación es la única manera?”, Regional and Sectoral Economic Studies, Vol. 16, pp. 171–186, available at: https://eulacfoundation.org/system/files/digital_library/2023-07/eers16112_32.pdf (accessed at 28 December 2024).

Jawadi, F. and Arouri, M. (2008), “Are American and French stock markets integrated?”, The International Journal of Business and Finance Research, Vol. 2 No. 2, pp. 107–116, available at: https://ssrn.com/abstract=1543916 (accessed 28 December 2024).

Joyo, A. and Lefen, L. (2019), “Stock market integration of Pakistan with its trading partners: A multivariate DCC-GARCH model approach”, Sustainability, Vol. 11 No. 2, p. 303, doi:10.3390/su11020303.

Kaltenthaler, K. and Mora, F. (2002), “Explaining Latin American economic integration: the case of Mercosur”, Review of International Political Economy, Vol. 9 No. 1, pp. 72–97, doi:10.1080/09692290110101108.

Kim, Y. and Kim, S. (2020), “Trade integration and business cycle synchronization in Latin American countries”, Journal of Economic Integration, Vol. 35 No. 4, pp. 559–575, doi:10.11130/jei.2020.35.4.559.

Kumar, A. et al. (2013), “Stock Market Integration in Asian Countries: Evidence from Wavelet multiple correlations”, Journal of Economic Integration, Vol. 28 No. 3, pp. 441–456.

Lo, A. (2015), “What is an index?”, SSRN Electronic Journal, doi:10.2139/ssrn.2672755.

Lukanima, B., Sanchez-Barrios, L. and Gómez-Bravo, Y. (2024), “Towards understanding MILA stock markets integration beyond MILA: New evidence between the pre-Global financial crisis and the COVID-19 periods”, International Review of Economics & Finance, Vol. 89, pp. 478–497, doi:10.1016/j.iref.2023.07.029.

Lütkepohl, H. (2005), “New Introduction to Multiple Time Series Analysis, Springer Science & Business Media”, doi:10.1007/978-3-540-27752-1.

Marques, L. (2016). Stock Market Liquidity in Chile. IMF Working Papers, 2016(223). https://doi.org/10.5089/9781475554656.001.A001

Mishra, A., Theertha, A., Mahesh, I., & R L, M. (2023), “Equity market integration in emerging economies: a network visualization approach”, Journal of Economic Studies (Glasgow, Scotland), Vol. 50 No. 4, pp. 696–717, doi:10.1108/jes-07-2021-0343.

Mohti, W., Dionísio, A., Vieira, I., and Ferreira, P. (2019), “Regional and global integration of Asian stock markets”, Research in International Business and Finance, Vol. 50, pp. 357–368, doi:10.1016/j.ribaf.2019.06.003.

Mollah, S. and Mobarek, A. (2016), Global Stock Market Integration: Co-Movement, Crises, and Efficiency in Developed and Emerging Markets, Springer.

Mora, J. (2016), “La Alianza del Pacífico y Mercosur: evidencias de convergencia económica”, Estudios Gerenciales, pp. 309–318, doi:10.1016/j.estger.2016.10.005.

Muñoz, J., Veloso, C., Sepúlveda, S., Delgado, C. and Cornejo, E. (2022), “Exchange markets and stock markets integration in Latin-America”, Revista Mexicana de Economía y Finanzas, Vol. 17 No. 3, pp. 1–24, doi:10.21919/remef.v17i3.719.

Orskaug, E. (2009), “Multivariate DCC-GARCH Model: -With Various Error Distributions”, Institutt for Matematiske Fag, In 84, available at: https://ntnuopen.ntnu.no/ntnu-xmlui/handle/11250/259296 (accessed 28 December 2024).

Patel, R. (2022), “Examining the portfolio diversification benefits with selected developed, emerging and frontier markets”, Finance Theory and Practice, Vol. 26 No. 5, pp. 22–32, doi:10.26794/2587-5671-2022-26-5-22-32.

Qiu, Y., Ren, Y. and Xie, T. (2022), “Global factors and stock market integration”, International Review of Economics & Finance, Vol. 80, pp. 526–551, doi:10.1016/j.iref.2022.02.031.

Sandoval, E. and Soto, M. (2016), “Mercado Integrado Latinoamericano: Un análisis de Cointegración”, Revista Internacional Administración & Finanzas, Vol. 9 No. 2, pp. 1–17, available at: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2663684 (accessed 28 December 2024).

Sandoval, E., Vásquez-Parraga, A.Z. and Sabat, R. (2015), “Integración de los Mercados Accionarios de Chile, Colombia y Perú en el Mercado Integrado Latinoamericano (MILA)”, Innovar, Vol. 25 No. 1Spe, pp. 71–84, doi:10.15446/innovar.v25n1spe.53195.

Sharma, A. and Seth, N. (2012), “Literature review of stock market integration: a global perspective”, Qualitative Research in Financial Markets, Vol. 4 No. 1, pp. 84–122, doi:10.1108/17554171211213568.

Sucharai, C. (2014), Stock Market Integration—An Overview, Development Economic.

Vieito, J., Espinosa, C., Wong, W., Batmunkh, M., Choijil, E. and Hussien, M. (2024), “Herding behavior in integrated financial markets: the case of MILA”, International Journal of Emerging Markets, Vol. 19 No. 11, pp. 3801–3827, doi:10.1108/ijoem-08-2021-1202