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

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

Research output: Contribution to journalArticlepeer-review

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 languageEnglish
Pages (from-to)409-427
Number of pages19
JournalInternational Trade Journal
Volume15
Issue number4
DOIs
StatePublished - Oct 2001

Fingerprint

Dive into the research topics of 'Transmission of conditional stock return volatility across north american markets: Evidence from pre- and post-NAFTA'. Together they form a unique fingerprint.

Cite this