TY - JOUR
T1 - NAFTA and North American stock market linkages
T2 - An empirical note
AU - Ewing, Bradley T.
AU - Payne, James E.
AU - Sowell, Clifford
PY - 1999
Y1 - 1999
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=0033474555&partnerID=8YFLogxK
U2 - 10.1016/S1062-9408(99)00026-1
DO - 10.1016/S1062-9408(99)00026-1
M3 - Article
AN - SCOPUS:0033474555
SN - 1062-9408
VL - 10
SP - 443
EP - 451
JO - North American Journal of Economics and Finance
JF - North American Journal of Economics and Finance
IS - 2
ER -