Resumen

SANDOVAL ALAMOS, Eduardo; VASQUEZ-PARRAGA, Arturo Z  y  SABAT ARRIAGADA, Rocío. INTEGRATION OF THE STOCK MARKETS OF CHILE, COLOMBIA AND PERU IN THE LATIN AMERICAN INTEGRATED MARKET (MILA). Innovar [online]. 2015, vol.25, n.spe, pp.71-84. ISSN 0121-5051.  https://doi.org/10.15446/innovar.v25n1spe.53195.

The purpose of this paper is to assess and compare the degree of integration of the stock markets of Chile, Colombia and Peru, before and after the implementation of the Latin American Integrated Market (MILA). For this reason, a conditional version of the international CAPM that assumes constant PRSM (prices for world systematic risk) versus two alternative specifications is used. The first specification item extends the base model as it incorporates segmentation variables along with the specific risk of each market. The second, extends the previous one including the factors documented by Fama and French (1992). Results point out that, under any specification used, the estimate of PRSM does not show any statistically significant differences between the periods observed for the study. On the other hand, an anomaly of international CAPM was identified, with a significant effect in Colombia (and the United States) before MILA, which disappears after its implementation. Finally, complementary results state that after the implementation of MILA, the stock markets that received the most benefits are Colombia and Peru, due to the significant reduction of their systematic risk, while no difference was detected in Chile after comparing the periods in terms of price and systematic risk. As a conclusion, it is expected that an increase of participants and the volumes traded in MILA would also increase the benefits in the region, which means a more effective fall in the PRSM and in the systematic risks of the participating stock markets.

Palabras clave : Mercados accionarios; Mercado Integrado Latinoamericano (MILA); Chile; Colombia; Perú; Stock markets; Latin American Integrated Market (MILA); Chile; Colombia; Peru.

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