Measurement and analysis of spillovers between S&P500 and MILA markets before and during the initial expansion of the COVID-19 pandemic
DOI:
https://doi.org/10.18046/j.estger.2021.159.4391Keywords:
spillovers, connectedness, MILA, S&P500, COVID-19Abstract
In this paper, the spillovers between the S&P500 and the Latin American Integrated Market are studied to verify if the start of the COVID-19 epidemic and the environment at that time changed the dynamics of their level of connectivity. Using the methodology proposed by Diebold and Yilmaz, spill rates to and from the United States and Latin American Integrated Market were estimated and analyzed. The results confirm the existence of spillovers from the S&P500, without being greater than those occurring during the years prior to 2020, with the exception of the Mexican market, which received a greater influence. The results can be useful in guiding financing and investment decisions in the stock markets of the region in the Latin American Integrated Market.
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