Resumo

LOPEZ-HERRERA, Francisco; RODRIGUEZ BENAVIDES, Domingo  e  GURROLA RIOS, César. Spillovers between the S&Poor500 and the top Latin American. Rev. mex. econ. finanz [online]. 2019, vol.14, n.spe, pp.527-540.  Epub 07-Out-2020. ISSN 2448-6795.  https://doi.org/10.21919/remef.v14i0.421.

This work performs an analysis of spillover effects between U.S. stock returns and changes in EMBI Global indices in Argentina, Brazil, Colombia, Mexico and Peru. A total spillover index is estimated to show significant increases at the turn of the century and during the global financial crisis. Breaking down the index into its directional components shows that the main sources of spillover among the markets analyzed are the U.S. stock market and the Brazilian bond index. It is also noteworthy that the main recipients of spill effects are the indices of the bonds of Peru and Mexico, while the Argentine bond index is the least affected by external shocks.

Palavras-chave : spillover; Spills; EMBI; S&P500; Sovereign Bonds.

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