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The impact of NAFTA on North American stock market linkages

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  • Lahrech, Abdelmounaim
  • Sylwester, Kevin
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    Abstract

    Past research considered effects of trade or trade agreements on equity market linkages across countries. We investigate the impact of NAFTA on U.S., Canadian, and Mexican equity market linkages from December 1988 to July 2006. We employ a dynamic conditional correlation model to the stock markets of these three countries. We then test for the presence of a structural break coinciding with the NAFTA agreement. We find that NAFTA increased linkages between U.S. and Mexican equity markets and between Canadian and Mexican markets. No evidence arises of an impact of NAFTA on the linkages between U.S. and Canadian markets.

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    Bibliographic Info

    Article provided by Elsevier in its journal The North American Journal of Economics and Finance.

    Volume (Year): 25 (2013)
    Issue (Month): C ()
    Pages: 94-108

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    Handle: RePEc:eee:ecofin:v:25:y:2013:i:c:p:94-108

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    Web page: http://www.elsevier.com/locate/inca/620163

    Related research

    Keywords: NAFTA; Stock markets; DCC models;

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    Cited by:
    1. Donadelli, Michael & Paradiso, Antonio, 2014. "Does financial integration affect real exchange rate volatility and cross-country equity market returns correlation?," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 206-220.

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