This paper reexamines the integration of the Canadian and U.S. stock markets in the 1977-86 period that is relatively free from capital controls. The study employs both the capital asset pricing model and the arbitrage pricing theory frameworks. Under both models, the evidence is consistent with segmentation in the 1977-81 subperiod, but supports integration in the 1982-86 subperiod. Using the arbitrage pricing theory framework, the author finds that the Canadian stocks interlisted on the U.S. exchanges and NASDAQ are priced.in an integrated market and segmentation is predominant for the noninterlisted Canadian stocks. Copyright 1992 by American Finance Association.
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Article provided by American Finance Association in its journal Journal of Finance.
Volume (Year): 47 (1992) Issue (Month): 5 (December) Pages: 2035-54 Download reference. The following formats are available: HTML
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