The aim of this paper is to analyze the contagion effect and the impact of the ϔ ´ volatility, using rolling window correlation and a GARCH approach. Once the contagion effect is established through an increasing correlation during the crisis period, volatility changes and leverage effects are tested with symmetric and asymmetric GARCH models with a dummy variable in the variance equation. Canada, the United States and Mexico´s equity markets stock indexes daily yields, in US dollars, from January 2003 through February Ͷͷͻ Ǥ ϔ the whole period and an increasing volatility since the Global Financial Crisis.