Decomposition of Stock Returns Spillovers and Detection of Breakpoints in Volatility

First, we find that stock markets in Latin America, Eastern Europe and the Middle East, and Emerging Asia are sensitive to stock market activity of the G7 countries. However, the impact of the former on the G7 countries is much weaker at different time scales. In the same vein, the North America stock markets help to explain the evolution of returns in Latin America, Emerging Asia, the Far East, and the Pacific region. Meanwhile, North America is mostly affected by developments in the stock markets of Europe and Latin America.