Abstract
This study examines the higher-moments of the returns distribution for Latin American equity indexes. Evidence is provided that kurtosis presents more of a risk than skewness in these markets, and while non-normal distributions are observed more frequently during the middle of the year, significant differences in the degree of skewness and kurtosis across the months of the year are sporadic. Diversifying portfolio holdings across the region tends to reduce variance and kurtosis risk, but causes an increased exposure to negative skewness. Finally, while regional diversification can reduce total risk, it does little to affect systematic risk exposure levels.