 Are Latin American stock markets connected? Exploring spillovers and the impact of risk factorsAta Assaf, Mohammad Al-Shboul, Khaled Mokni and Ender Demir Emerging Markets Review, 2025, vol. 65, issue C Abstract: This paper studies the connectedness among equity markets in Latin America (Argentina, Brazil, Chile, Colombia, Mexico, and Peru) and the effects of fundamental risk factors on the degree of their connectedness. Both time-varying parameters VAR (TVP-VAR) and quantile VAR (Q-VAR) models are used. Based on daily returns covering the period from February 02, 2016, until May 08, 2023, we find evidence of a low level of total connectedness, which is widely intensified in extreme conditions. Each market substantially contributes to its variation and contributes or receives a mild effect from each element in the system. Moreover, we show that the dynamic spillover effects between Latin American stock markets are driven by different uncertainty measures and are mainly affected by the COVID-19 outbreak and the Russian-Ukraine conflict. Our findings are beneficial to investors aiming at optimizing hedging strategies as well as to policymakers in the appropriate policies to manage equity market sensitivity. Keywords: Connectedness; TVP-VAR; Latin America; COVID-19; Global uncertainty factors (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:65:y:2025:i:c:s1566014125000020 DOI: 10.1016/j.ememar.2025.101253 Access Statistics for this article Emerging Markets Review is currently edited by Jonathan A. Batten More articles in Emerging Markets Review from Elsevier |
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