Abstract

RODRIGUEZ BENAVIDES, Domingo; MULLER DURAN, Nancy  and  CLIMENT HERNANDEZ, José Antonio. Spillovers between major stock markets in Latin America, the United States and the Oil Market. Rev. mex. econ. finanz [online]. 2021, vol.16, n.1, e573.  Epub May 06, 2021. ISSN 2448-6795.  https://doi.org/10.21919/remef.v16i1.573.

This article analyzes spillovers both in yields and among their volatilities between the international price of oil and the main stock markets of Latin America and the United States. Based on the methodology of Diebold and Yilmaz (2009, 2012), we built a spillovers index (IS) for yields and another for volatilities. The results show that the first index has greater effects compared to the second and that there is a weak interdependence between the yields of the stock markets analyzed and those of the oil market.

Keywords : Variance decomposition; stock yields; Spillovers.

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