Howard, Stacia and Craigwell, Roland (2010): Convergence of Caribbean Stock Exchanges. Forthcoming in:
Download (317kB) | Preview
This paper uses daily data for market returns as well as for the cross-listed securities on the three main stock exchanges in the Caribbean: the Barbados Stock Exchange, the Trinidad and Tobago Stock Exchange and the Jamaica Stock Exchange to examine the beta-convergence and sigma-convergence of the markets. The results suggest that with respect to sigma-convergence, while the markets are becoming increasingly integrated, the convergence of the returns of the cross-listed securities is debatable, indicating some degree of information asymmetry. The results of the beta-convergence imply that the speed of convergence is still rather slow in comparison to other markets throughout the world.
|Item Type:||MPRA Paper|
|Original Title:||Convergence of Caribbean Stock Exchanges|
|Keywords:||Stock Exchanges; Convergence; Caribbean|
|Subjects:||O - Economic Development, Technological Change, and Growth > O4 - Economic Growth and Aggregate Productivity > O47 - Measurement of Economic Growth; Aggregate Productivity; Cross-Country Output Convergence
G - Financial Economics > G2 - Financial Institutions and Services > G29 - Other
O - Economic Development, Technological Change, and Growth > O5 - Economywide Country Studies > O54 - Latin America; Caribbean
|Depositing User:||Roland Craigwell|
|Date Deposited:||29. Aug 2012 04:31|
|Last Modified:||20. Feb 2013 09:13|
Agbeyegbe, T. (1994), “Some Stylized facts about the Jamaican Stock Market” Social and Economic Studies. 43 (4): 143-156.
Alleyne, K. and Craigwell, R. C. (2007), “Information efficiency and volatility in the Barbados Stock Exchange” Central Bank of Barbados (mimeo).
Babetskii, I., Komárek, L. and Komárková, Z. (2007), “Financial Integration of Stock Markets Among New EU Member States and the Euro Area” Czech National Bank, Working Paper Series 7
Blume, M. (1971), “On the Assessment of Risk” The Journal of Finance Volume XXVI No. 1
Bourne, C. (1998) “Economic Aspects of the Trinidad & Tobago Stock Market” In Money and Finance in Trinidad & Tobago, edited by C. Bourne and Ramesh Ramsaran. Institute of Social & Economic Research, University of the West Indies, Jamaica.
Craigwell, R.C. and Grandbois, C. (1999) “The performance of the Securities Exchange of Barbados” Savings and Development 23(4): 434-455.
Fama, E.F. (1970) “Efficient capital markets: a review of theory and empirical work” The Journal of Finance. 25(2): 383-417. Gangemi, M., Brooks, R. and Faff, R.W. (1999) “Country Betas, Their Time Sensitivity And The International Crash of October 1987” International Journal of Finance 11, pp. 1390-1399. Gangemi, M., Brooks, R. and Faff, R.W. (1999) “Mean Reversion and the Forecasting of Country Betas: A Note” Global Finance Journal 10, pp. 231-245
Greenidge, K. and Arjoon, V. (2007) “The Efficiency of Caribbean Stock Markets” Central Bank of Barbados Working Paper
Jayasuriya, S. and Shambora, W. (2008), “The World is Shrinking: Evidence for Stock Market Convergence” Economics Bulletin Volume 7
Karamera, D., K. Ojah and J.A. Cole. (1999) “Random walks and market efficiency tests: evidence from emerging equity markets” Review of Quantitative Finance and Accounting. 13: 171– 188.
Koot, R. J. Miles and G. Heitmann. (1989) “Security risk and market efficiency in the Jamaican Stock Exchange” Caribbean Financial Management. 5(2): 18-33.
Leon, H., Nicholls, S. and Noel, D. (2001) “Nonlinear Behaviour of Returns in an Emerging Stock Market” Central Bank of Barbados Working Paper
Lorde, T., B.Francis and A. Greene. (2009) “Testing for Long-Run Co-movement, Common Features and Efficiency in Emerging Stock Markets: Evidence from the Caribbean”, Economic Issues. 14, Part 2, 55-80.
Rajan, R.G. and Zingales, L. (1998) “Financial Dependence and Growth” The American Economic Review. 88(3): 559-586.
Robinson J. (2001) “Stock Price Behaviour in a Small Emerging Market: Tests for Predictability and seasonality on the Barbados Stock Exchange” Savings and Development. 1: 103-113.
Robinson J. (2005) “Stock Price Behaviour in Emerging Markets: Tests for Weak Form Market Efficiency in the Jamaican Stock Exchange” Social and Economic Studies. 54(2): 51-69
Sergeant, K. (1995) “The Trinidad & Tobago Stock Exchange” In Insights into an emerging financial structure: the experience of Trinidad & Tobago, edited by R. Ramsaran. Caribbean Centre for Monetary Studies. 189-226.
Singh, R.O. (1995) “An examination of return predictability on the Trinidad & Tobago Stock Exchange” In Insights into an emerging financial structure: the experience of Trinidad & Tobago, edited by R. Ramsaran. Caribbean Centre for Monetary Studies. 227-244.