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Interdependence in conditional variances between Latin American stock markets This paper aims to identify the relationships between the conditional variance and co-movements of the returns of Latin American (Argentina, Brazil and Mexico) stock markets. Exponential GARCH and multivariate GARCH (BEKK) models are estimated to find asymmetrical effects on innovation shocks. The results show high sensitivity of the Granger causality test to lags, indicating that it should not be used as the only measure for causal relationships or precedence in the conditional variance between the stock markets. We find a positive relationship between risk and returns in the Latin American markets and a negative relationship with the Dow Jones index. Market returns have shown high persistence in their conditional variance. The existence of co-movements in the conditional variances of the stock markets is also pointed out. The inclusion of the international market and asymmetry in the estimation leads to more robust results