**1. Introduction**

The information transmissions (return and volatility) across equity markets are of greater interest to investors and policymakers with increased financial integration all over the world. For example, if asset volatility is transferred from one market to another during turbulence or crisis, then portfolio managers need to adjust their asset allocation (Bouri 2013; Syriopoulos et al. 2015; Yousaf and Hassan 2019) and financial policymakers need to change their policies to reduce the contagion risk (Yang and Zhou 2017). The linkages between equity markets, especially during a crisis, can also have important implications for asset allocations, portfolio diversification, asset valuation, hedging, and risk management.

In the literature, several studies have examined the linkages between equity markets during the Asian crisis of 1997 (In et al. 2001; Chen et al. 2002; Chancharoenchai and Dibooglu 2006; Li and Giles 2014; Gulzar et al. 2019) and the global financial crisis (Ta¸sdemir and Yalama 2014; Bekiros 2014; Mensi et al. 2016; Gamba-Santamaria et al. 2017). However, the linkages between equity markets are rarely examined during the crash of the Chinese stock market in 2015. The Chinese stock market crashed in 2015 (Han and Liang 2016; Ahmed and Huo 2019; Yousaf and Hassan 2019). The CSI 300 index had reached up to 5178 points until mid-June in 2015. Then, it took roller-coaster ride and dropped up to 34% in just 20 days, also losing 1000 points within just one week. Around 50% of the Chinese stocks lost more than half of their pre-crash market value. This crash adversely a ffected the many other financial markets around the globe (Fang and Bessler 2017). Despite the importance of the Chinese crash to international portfolio managers, only Ahmed and Huo (2019) examined the volatility transmission between the Chinese and Asian stock markets during the crash of the Chinese stock market in 2015. The empirical research remains surprisingly limited on the area of linkages between equity markets during the crash of the Chinese stock market.

The US and China are the most significant trading partners of the emerging Latin American economies. From 2000 to 2017, the trade volume of China (US) is increased by 21 (2.5)-fold with emerging Latin American economies. The trade volume of leading economies grew at a di fferent rate with the emerging Latin American (LA) economies; thus, spillover can also be changed between the China-LA and US-LA pairs during the last two decades. Johnson and Soenen (2003) also sugges<sup>t</sup> that trade increases the financial integration between countries' stock markets. Previously, several studies have examined the spillovers between the US and Latin American stock markets (Meric et al. 2001; Arouri et al. 2015; Ben Rejeb and Arfaoui 2016; Cardona et al. 2017; Gamba-Santamaria et al. 2017; Ramirez-Hassan and Pantoja 2018; Yousaf and Ahmed 2018; Fortunato et al. 2019; Coleman et al. 2018). However, the linkages between the China and Latin American stock markets have not ye<sup>t</sup> been explored, especially during the global financial crisis and the crash of the Chinese stock market.

Based on the above-mentioned literature gaps, this study aims to examine the return and volatility spillover between the world-leading (the US and China) and emerging Latin American stock markets during the full sample period, the global financial crisis, and the crash of the Chinese stock market. Additionally, this study estimates the optimal weights and hedge ratios during all the sample periods.

Our study makes the following contributions to the literature. First, regarding return spillover, the findings reveal a unidirectional return transmission from Mexico to the US stock market during the global financial crisis. During the crash of the Chinese stock market, the return spillover is found to be unidirectional from the US to the Brazil, Chile, Mexico, and Peru stock markets. Moreover, the results indicate a unidirectional return transmission from China to the Brazil, Chile, Mexico, and Peru stock markets during the global financial crisis and the crash of the Chinese stock market. Regarding volatility spillover, the results show the bidirectional volatility transmission between the US and the stock markets of Chile and Mexico during the global financial crisis. During the Chinese crash, a bidirectional volatility transmission is observed between the US and Mexican stock markets. Furthermore, the volatility spillover is unidirectional from China to the Brazil stock market during the global financial crisis. During the Chinese crash, the volatility spillover is bidirectional between the China and Brazil stock markets.

The contributions of this study are four-fold. First, this study provides a comprehensive analysis of spillover between the world-leading and emerging LA stock markets during the crash of the Chinese stock market. Second, it contributes to the literature of the China-LA stock markets by examining the spillovers during the global financial crisis. Lastly, the BEKK-GARCH model is applied to estimate the spillovers, optimal weights, and hedge ratios, which provide better statistical properties compared to the many other GARCH models. The rest of the paper is organized as follows: Section 2 provides a review of the literature. The empirical method is described in Section 3. Section 4 consists of the data and the preliminary analysis. The empirical results are reported in Section 5. Finally, Section 5 concludes the discussion.
