The primary objective of this study is to examine the extent of financial integration between Latin American and US financial markets, particularly in light of recent efforts to foster integration through trade agreements. Spanning from 1 January 1990 to 31 December 2019, the sample focuses on major market indices and key sectors. Financial integration is quantified using a DCC multivariate GARCH model, incorporating a smooth transition model, structural breaks, and regression-based approaches. Results indicate increased comovement with the US for main market indices in Argentina, Chile, Colombia, Mexico, and Peru, while Brazil shows a decrease. Similar trends are observed in sectoral analyses. This study also reveals heightened correlation post-trade agreements. Structural break analysis highlights significant shifts in dynamic correlations for countries with US free trade agreements. These findings support the argument of increased financial integration, bearing significance for portfolio diversification and international policy formulation.

中文翻译：

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拉丁美洲和美国的贸易协定和金融市场一体化

本研究的主要目的是考察拉丁美洲和美国金融市场之间的金融一体化程度，特别是考虑到最近通过贸易协定促进一体化的努力。样本涵盖1990年1月1日至2019年12月31日，重点关注主要市场指数和关键行业。金融一体化使用 DCC 多元 GARCH 模型进行量化，结合平滑过渡模型、结构突破和基于回归的方法。结果显示，阿根廷、智利、哥伦比亚、墨西哥和秘鲁的主要市场指数与美国的联动性有所增强，而巴西的联动性有所下降。部门分析中也观察到类似的趋势。这项研究还揭示了贸易后协议的相关性增强。结构性断裂分析凸显了与美国自由贸易协定国家动态相关性的重大变化。这些发现支持了加强金融一体化的论点，对投资组合多元化和国际政策制定具有重要意义。