Les effets de la crise des subprimes sur le marché financier mexicain

The aim of this article is to study and quantify the transmission channels between the American and Mexican stock markets in the aftermath of the subprime crisis. To this end, we use a time-varying transition probability Markov-switching model, in which ?crisis? and ?non-crisis? periods are identified endogenously. Using daily data from January 2004 to April 2009, our findings do not validate the ?financial decoupling? hypothesis since we show that the financial stress in the us markets is transmitted to the Mexican stock market volatility. Classification JEL : C13, C22, G01, G15.