COINTEGRATION, ERROR-CORRECTION AND GRANGER CAUSALITY - AN APPLICATION WITH LATIN-AMERICAN STOCK MARKETS

This paper offers an empirical investigation of the presence of a long run relationship in stock prices in six Latin Emerging Markets. We fi nd evidence of a long run relationship among all of these countries in a bivariate framework. Results indicate the presence of bidirectional rather than unidirectional causality suggesting the absence of weak e xogeneity among their stock prices.