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Copyright of Problemas del Desarrollo. Revista Latinoamericana de Economía is the property of Universidad Nacional Autonoma de Mexico. Instituto de Investigaciones Economicas and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

We examine the impact of crude oil price fluctuations on equity markets for four emerging Latin American markets, namely, Argentina, Brazil, Chile, and Mexico. We adopt an approach that examines this relationship in both a time and frequency domains. The co‐spectral analysis confirmed that most of the observable coherence between crude oil and equity returns occurred at relatively short frequencies. The structural vector autoregression (SVAR) results suggest that shocks to crude oil price directed all equity markets into negative territory, though they typically reversed course after approximately twenty‐four months. Although the decomposition of the prediction error variance showed that crude oil prices were weakly exogenous in the SVAR model, in most cases Brazil's equity market may have been responsible for the higher percentage of variations in the remaining indices. The nonlinear Granger causality tests reveal, with the exception of the Merval index, the equity markets under study were responsive to crude oil price shocks. [ABSTRACT FROM AUTHOR]

This study uses the BEKK-GARCH model to examine the return-and-volatility spillover between the world-leading markets (USA and China) and four emerging Latin American stock markets over the global financial crisis of 2008 and the crash of the Chinese stock market of 2015. Regarding return spillover, our findings reveal a unidirectional return transmission from Mexico to the US stock market during the global financial crisis. During the crash of the Chinese stock market, the return spillover is found to be unidirectional from the US to the Brazil, Chile, Mexico, and Peru stock markets. Moreover, the results indicate a unidirectional return transmission from China to the Brazil, Chile, Mexico, and Peru stock markets during the global financial crisis and the crash of the Chinese stock market. Regarding volatility spillover, the results show the bidirectional volatility transmission between the US and the stock markets of Chile and Mexico during the global financial crisis. During the Chinese crash, the bidirectional volatility transmission is observed between the US and Mexican stock markets. Furthermore, the volatility spillover is unidirectional from China to the Brazil stock market during the global financial crisis. During the Chinese crash, the volatility spillover is bidirectional between the China and Brazil stock markets. Lastly, a portfolio analysis application has been conducted. [ABSTRACT FROM AUTHOR]

Copyright of Dyna is the property of Universidad Nacional de Colombia, Medellin, Facultad de Minas and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)