STOCHASTIC TRENDS IN STOCK-PRICES - EVIDENCE FROM LATIN-AMERICAN MARKETS

This paper investigates the long-run relationship between stock indice s from six Latin American markets and the United States. The empirical investigation is conducted using weekly data from January 1989 to Dec ember 1993, unit root tests, cointegration tests, and error-correction models. Results from the unit root tests provide evidence of a stocha stic trend in all indices. Results from the cointegration tests indica te the presence of a long-run relationship between the six Latin Ameri can indices (with and without the United States index). Error-correcti on results indicate significant causality among the stated indices.