Spillovers entre los principales Mercados Accionarios de Latinoamérica, Estados Unidos y el Mercado Petrolero

Abstract

Spillovers between major stock markets in Latin America, the United States and the Oil Market

We analyze the spillovers in both yields and volatilities between the international oil price and the main stock markets in Latin America and the United States. To this end, we use the methodology proposed by Diebold and Yilmaz (2009, 2012), which consists of constructing spillover indices (SI) for yields and volatilities. The results show that the index for yields has larger effects compared to the one obtained for volatilities and that there is a weak interdependence between the stock market yields analyzed and those of the oil market. A disadvantage of this procedure is that the returns of the stock indexes on which this methodology is applied are aggregate indicators representative of the behavior of the main stocks in their markets, so that a possible extension, or recommendation, would be to apply the methodology with a higher level of disaggregation, such as the returns of some sectorial stock indexes or the returns of some stocks listed in the markets analyzed.