Resumo

ROMERO-ALVAREZ, Yaneth Patricia; RAMIREZ-ATEHORTUA, Fabián Hernando  e  GUZMAN-AGUILAR, Diana Sirley. Latin American Integrated Market (MILA): A Correlation and Diversification Analysis of the Stock Portfolios of the Three Member Countries in the Period 2007-2012. Cuad. Contab. [online]. 2013, vol.14, n.34, pp.53-74. ISSN 0123-1472.

The present paper analyses common factors in the stock markets of the member countries of the Latin American Integrated Market (MILA), Chile, Colombia and Peru, with the purpose of exploring the existence of a possible financial integration that would affect diversification benefits for investors. For that purpose the daily historic performances of the fifteen most negotiated stocks in each of them was studied, in the period between January 2009 and June 2012. Two evaluations were performed on these performances: first, through principal component analysis in each country, the number of shared risk factors and the impact of each country in its variation were determined. A high correlation between the countries' assets was found, which evidences a financial integration the effect of which is the minimisation of the benefits of portfolio diversification for an investor. We hope to continue to apply new methodologies related to integrated markets considering the fundamental variables affecting the results.

Palavras-chave : Harry Markowitz; Diversification; Principal Component Analysis; Integration of Stock Markets; Markowitz, Harry, 1927-; actions; assets (Accounting); cost analysis; investments portfolio.

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