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 |
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Pages (from-to) | 409-427 |
Number of pages | 19 |
Journal | International Trade Journal |
Volume | 15 |
Issue number | 4 |
DOIs | |
State | Published - Oct 2001 |