Equity Market Spillovers in the Americas

Francis X. Diebold / Kamil Yilmaz
Authors registered in the RePEc Author Service: Francis Diebold and Kamil Yilmaz ()

Journal Economía Chilena (The Chilean Economy), 2009, vol. 12, issue 2, 55-65

Abstract: Using a recently-developed measure of financial market spillovers, we provide an empirical analysis of return and volatility spillovers among five equity markets in the Americas: Argentina, Brazil, Chile, Mexico and the U.S. The results indicate that both return and volatility spillovers vary widely. Return spillovers, however, tend to evolve gradually, whereas volatility spillovers display clear bursts that often correspond closely to economic events.

Date: 2009
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Citations: View citations in EconPapers (9)

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Chapter: Equity Market Spillovers in the Americas (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:chb:bcchec:v:12:y:2009:i:2:p:55-65

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