NAFTA and North American stock market linkages: An empirical note

Bradley T. Ewing, James E. Payne, Clifford Sowell

Research output: Contribution to journalArticlepeer-review

34 Scopus citations


This paper provides tests of the co-movement of the North American stock markets. We find over the post-US stock market crash period, 1987:11 through 1997:03, there is no cointegration present in these markets even when the passage of NAFTA is taken into account. The absence of cointegration allows us to draw several conclusions. First, the stock markets of North America are segmented. Second, the passage of NAFTA has not resulted in a greater integration of these stock markets. Finally, the data do not support the notion of a contagion effect from the 1987 U.S. stock market crash. In conclusion, the potential for long-run international diversification across the markets of North America still exists.

Original languageEnglish
Pages (from-to)443-451
Number of pages9
JournalNorth American Journal of Economics and Finance
Issue number2
StatePublished - 1999


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