IDEAS home Printed from https://ideas.repec.org/a/eee/glofin/v65y2025ics1044028325000213.html
   My bibliography  Save this article

Return and volatility connectedness among US and Latin American markets: A QVAR approach with implications for hedging and portfolio diversification

Author

Listed:
  • Patra, Saswat
  • Malik, Kunjana

Abstract

This study examines return and volatility connectedness among major Latin American markets and the US using the Quantile Vector Autoregression (QVAR) approach. We analyze spillovers at the median and extreme tails. Results reveal moderate integration at the median, with higher interconnectedness at both tails. We find that volatility spillovers are slightly greater at right tails, and spillovers peaked during the 2008 Global Financial Crisis. Return spillovers generally exceed volatility spillovers. Argentina and Chile are net receivers, while Brazil, Mexico, and the US are net transmitters. Based on the Minimum Connectedness Portfolio and the dynamic hedge ratio, Chile offers the cheapest hedge, while US is the most effective for risk reduction.

Suggested Citation

  • Patra, Saswat & Malik, Kunjana, 2025. "Return and volatility connectedness among US and Latin American markets: A QVAR approach with implications for hedging and portfolio diversification," Global Finance Journal, Elsevier, vol. 65(C).
    • Handle: RePEc:eee:glofin:v:65:y:2025:i:c:s1044028325000213
    DOI: 10.1016/j.gfj.2025.101094
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S1044028325000213
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.gfj.2025.101094?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    Latin American markets; Connectedness; Hedging; Portfolio diversification;
    All these keywords.

    JEL classification:

    • F30 - International Economics - - International Finance - - - General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:glofin:v:65:y:2025:i:c:s1044028325000213. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/620162 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.