Additional Evidence on Integration in the Canadian Stock Market

Usha R Mittoo

Journal of Finance, 1992, vol. 47, issue 5, 2035-54

Abstract: 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.

Date: 1992
References: Add references at CitEc
Citations: View citations in EconPapers (60)

Downloads: (external link)
http://links.jstor.org/sici?sici=0022-1082%2819921 ... O%3B2-X&origin=repec full text (application/pdf)
Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jfinan:v:47:y:1992:i:5:p:2035-54

Ordering information: This journal article can be ordered from
http://www.afajof.org/membership/join.asp

Access Statistics for this article

More articles in Journal of Finance from American Finance Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().