Transmission of conditional stock return volatility across north american markets: Evidence from pre- and post-NAFTA

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

doi:10.1080/08853900152646896

Transmission of conditional stock return volatility across north american markets: Evidence from pre- and post-NAFTA

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

Business Administration

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9 Scopus citations

Abstract

There has been considerable interest in whether stock market volatility is predictable and the extent to which cross-market relationships exist. This article examines the transmission of conditional stock price return volatility across the U.S., Canadian, and Mexican markets. Using daily data over the period 6/2/92-10/28/99 we provide empirical evidence on the extent to which cross-market relationships exist in the pre- and post-NAFTA periods.

Original language	English
Pages (from-to)	409-427
Number of pages	19
Journal	International Trade Journal
Volume	15
Issue number	4
DOIs	https://doi.org/10.1080/08853900152646896
State	Published - Oct 2001

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abstract = "There has been considerable interest in whether stock market volatility is predictable and the extent to which cross-market relationships exist. This article examines the transmission of conditional stock price return volatility across the U.S., Canadian, and Mexican markets. Using daily data over the period 6/2/92-10/28/99 we provide empirical evidence on the extent to which cross-market relationships exist in the pre- and post-NAFTA periods.",

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Transmission of conditional stock return volatility across north american markets: Evidence from pre- and post-NAFTA

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