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In this paper the conditional dependence of stock market in Mexico and the United States is studied. Symmetric Joe-Clayton copula is used and conditional probabilities of increases (decreases) in Mexico stock index when there are increases (decreases) in the U.S. stock index are estimated. For the marginal distributions, AR-TGARCH and AR-EGARCH models with a standardized Student's t distribution for innovations are proposed. Empirical results suggest that there is a high degree of conditional dependence in the tails, presenting higher volatility on the upper (right) tail throughout the period. [ABSTRACT FROM AUTHOR]

We investigate the volatility spillover effects of European equity markets to the equity markets of Mexico, Brazil, and Chile. The results of the E-GARCH and VAR models suggest that the stock markets of Spain and Germany have stronger volatility spillover effects on Latin American markets than do Italy, the United Kingdom, and France. We find that these spillover effects of Spain and Germany have a greater impact on Mexico and Brazil than on Chile. Moreover, in all these cases negative innovations increase volatility more than do positive innovations. We tie our results to the relative degree of openness of Latin American countries and their level of international trade with the European economies. Mexico and Brazil are relatively more open economies than is Chile. Also, these two Latin American economies have higher levels of international trade with Spain and Germany than with other European economies. Our results are consistent with the notion that, as an economy becomes more open and integrated with the world economy, its financial sector becomes more susceptible to external shocks. [ABSTRACT FROM AUTHOR]

Using a multivariate exponential generalized autoregressive conditionally heteroscedastic (M-EGARCH) model, this study examines price and volatility spillovers and response asymmetries between the equity markets of the United States and Brazil, Chile and Mexico. Our results vary depending on the openness of the country in terms of international trade. Evidence indicates that there are price and volatility spillovers from the United States to Mexico and Chile and but not to Brazil. In addition, our results indicate response asymmetries for Mexico and Chile, suggesting that the Mexican and Chilean markets are more sensitive to negative innovations originating from other markets than to positive innovations. [ABSTRACT FROM AUTHOR]