*3.1. Data*

This study uses the daily data of benchmark stock indices of the US (S&P 500); China (SSE Composite Index); and four emerging LA stock markets—namely, Brazil (IBOVESPA index), Chile (IPSA index), Mexico (S&P/BMV IPC Index), and Peru (S&P/BVL Peru General TR PEN Index). The data of stock indices are taken from the Data Stream database. The index is assumed to be the same on non-trading days (holidays except weekends) as on the previous trading day, as suggested by Malik and Hammoudeh (2007), and Ali et al. (2020).

This study uses the full sample period from 1 January 2000, to 29 May 2020, and studies the following two sub-samples: the first sub-period from 1 August 2007, to 30 July 2010, presenting the period with the US financial crisis; and the second sub-period from 1 June 2015, to 31 May 2018, presenting the period with the Chinese stock market crash. We note that Yousaf and Hassan (2019) also use similar timeframes for the global financial crisis and the crash of the Chinese stock market. This study follows He (2001) to use three-year data for each crisis for a short-run analysis. Changes in the market correlations take place continuously, not only as a result of the crises but also due to the consequences of many financial, economic, and political events. This study uses the same time for both the crisis periods to make the coefficient comparable. The difference in the opening time of the China and LA stock markets has been adjusted in the estimations.
