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.
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Article provided by Central Bank of Chile in its journal EconomÃa Chilena.
Volume (Year): 12 (2009) Issue (Month): 2 (August) Pages: 55-65 Download reference. The following formats are available: HTML
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