Many recent works have presented evidences about the existence of links between the stock markets of Brazil and Argentina. However the existence of links between two markets does not mean that they are integrated. Integration is a more restricted concept that must be verified with pricing models. Past empirical evidences show that the Brazilian and Argentinean markets are segmented. However, as these evidences were based on long periods of time and on data until the beginning of the 90's, probably their results do not reflect the more recent situation. We used two international pricing models for the Brasilian and Argentinean market. Our results suggest that Argentina is still segmented from the main international markets. On the other side, Argentina seems to be integrated with Brazil in the last three years. About 40% of the Argentinean export goes to Brazil. Brazil is very important to Argentina and predominates among other economies in the pricing of the Argentinean stock market.On the other side, Brazil presents integration with the central economies and with Argentina. Only 9% of the Brazilian export goes to Argentina. The United States became particulary important in the pricing of the Brazilian stock market in the last three years. The United States are the domain commercial partner of Brazil and the favorite market to the emissions of Brazilian DRs.
emerging markets; integration versus segmentation; international pricing models
