The aim of this paper is to investigate whether the US subprime financial turmoil has had any statistically significant effect on the conditional volatility of stock prices in Latin America for which the BEKK methodology is adopted, developed by Engle and Kroner (1995). The t-student...

The 2007-2008 sub-prime crisis has raised once more the interest on international market integration. Events of global importance tend to have a significant impact on the world's stock markets. Empirical studies show that the co-movement patterns of national stock markets change significantly...