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Extreme Return Spillover Between the WTI, the VIX, and Six Latin American Stock Markets: A Quantile Connectedness Approach

Author

Listed:
  • Kruel Maximiliano

    (Department of Economy, 16779 University of Salamanca , Calle Espejo nº2, 37008, Salamanca, Spain)

  • Ceretta Paulo Sergio

    (Department of Management, 28118 Federal University of Santa Maria , av. Roraima nº1000, Santa Maria RS, 91105-900, Brazil)

Abstract

This study examined extreme return spillovers and connectedness between crude oil (West Texas Intermediate), the Volatility Uncertainty Index (VIX), S&P 500, and six Latin American stock markets, namely, Argentina, Brazil, Chile, Colombia, Mexico, and Peru, using quantile connectedness. This approach allowed for a nuanced investigation of connectedness and added to the understanding the integration between these markets. The results indicated that the S&P 500 market was a full sender of spillover in the whole sample of the quantiles, when, to the contrary, the oil market was the highest receiver. The total spillovers were more intense during extreme quantiles, with swings between transmission and reception for VIX, Colombia, Mexico, and Peru. In addition, when the market turned to operate during bullish conditions, the VIX became a strong sender of spillover. Furthermore, an intense spillover was observed only in the lower and upper quantiles, and the spillover was sharper for the extreme upper quantile.

Suggested Citation

  • Kruel Maximiliano & Ceretta Paulo Sergio, 2025. "Extreme Return Spillover Between the WTI, the VIX, and Six Latin American Stock Markets: A Quantile Connectedness Approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 29(3), pages 301-316.
    • Handle: RePEc:bpj:sndecm:v:29:y:2025:i:3:p:301-316:n:1004
    DOI: 10.1515/snde-2023-0076
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    More about this item

    Keywords

    spillovers; Latin American stock markets; quantile vector autoregression;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models

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