Batten, Jonathan A.; Szilagyi, Peter G.; Wong, Michael C.S. - In: Emerging Markets Finance and Trade 50 (2014) 03, pp. 61-76
Brazil has the largest stock market in South America; Argentina has one of the smallest. We investigate the spread relationship between these two markets, measured as the ratio of Brazil's Bovespa index to Argentina's Merval index. Using rescaled range analysis, we identify the presence of a...
