Emerging Markets Review 65 (2025) 101253 Available online 17 January 2025 1566-0141/© 2025 Elsevier B.V. All rights are reserved, including those for text and data mining, AI training, and similar technologies. Are Latin American stock markets connected? Exploring spillovers and the impact of risk factors Ata Assaf a , Mohammad Al-Shboul b,g , Khaled Mokni c,d , Ender Demir e,f ,* a Faculty of Business and Management, University of Balamand, P.O.Box: 100, Tripoli, Lebanon b Dept. of Finance and Economics, College of Business Administration, University of Sharjah, Sharjah, United Arab Emirates c Rabat Business School, Universit´e Internationale de Rabat, Morocco d ISTLS, University of Sousse, Sousse, Tunisia e Department of Business and Economics, School of Social Sciences, Reykjavik University, Reykjavik, Iceland f Korea University Business School, Korea University, Seoul, South Korea g Department of Finance, College of Business, University of Jordan, Amman, Jordan ARTICLE INFO Keywords: Connectedness TVP-VAR Latin America COVID-19 Global uncertainty factors ABSTRACT This paper studies the connectedness among equity markets in Latin America (Argentina, Brazil, Chile, Colombia, Mexico, and Peru) and the effects of fundamental risk factors on the degree of their connectedness. Both time-varying parameters VAR (TVP-VAR) and quantile VAR (Q-VAR) models are used. Based on daily returns covering the period from February 02, 2016, until May 08, 2023, we find evidence of a low level of total connectedness, which is widely intensified in extreme conditions. Each market substantially contributes to its variation and contributes or receives a mild effect from each element in the system. Moreover, we show that the dynamic spillover effects between Latin American stock markets are driven by different uncertainty measures and are mainly affected by the COVID-19 outbreak and the Russian-Ukraine conflict. Our findings are beneficial to investors aiming at optimizing hedging strategies as well as to policymakers in the appropriate policies to manage equity market sensitivity. 1. Introduction The increasing interest in examining the relationships among stock markets can be attributed to various causes. The most relevant factors are associated with international portfolio diversification challenges, particularly in the wake of financial and pandemic crises, such as the COVID-19 pandemic (COVID-19), the Russian-Ukrainian conflict (RU), the European sovereign debt crisis (ESDC), the 2008–2009 global financial crisis (GFC), and the US-China trade war, among others (Bessler et al., 2021; Dimitriou et al., 2024; Smolo et al., 2024). Research has demonstrated that these crises significantly increased the volatility of regional and global stock market indices, affecting both developed and emerging markets (BenSaïda, 2019). This increase in volatility resulted in fluctuations in cor- relations among these markets, ultimately having a negative impact on investors holding international portfolios. According to finance theories, namely, the theory of portfolio investment by Markowitz (1952), and CAPM developed by Sharpe (1964) and Lintner (1965), investors can eliminate the risk of their portfolios by allocating various assets in their portfolios that their returns do not move in the same direction and in response to the overall market. The benefits obtained from diversification can be attained from the return and * Corresponding author at: Department of Business and Economics, School of Social Sciences, Reykjavik University, Reykjavik, Iceland E-mail addresses: ata.assaf@balamand.edu.lb (A. Assaf), malshboul@sharjah.ac.ae (M. Al-Shboul), enderd@ru.is (E. Demir). Contents lists available at ScienceDirect Emerging Markets Review journal homepage: www.elsevier.com/locate/emr https://doi.org/10.1016/j.ememar.2025.101253 Received 29 May 2024; Received in revised form 12 December 2024; Accepted 15 January 2025