Abstract
This paper analyzes the return and volatility spillover of Latin American and U.S. financial markets using a time - frequency domain approach. The results show a high connectivity between markets and the transmitter role of volatility and return spillover of Brazil, the U.S. and Mexico. Frequency domain findings show that short-term (1 to 5 days) contributes mostly to return spillover, while volatility spillover occurs mostly in the long-term (more than 20 days). The rolling-window analysis indicates that extreme events directly affect the spillover effect.
