The impact of NAFTA on North American stock market linkages

Abdelmounaim Lahrech and Kevin Sylwester

The North American Journal of Economics and Finance, 2013, vol. 25, issue C, 94-108

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.

Keywords: NAFTA; Stock markets; DCC models (search for similar items in EconPapers)
JEL-codes: F36 G15 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:25:y:2013:i:c:p:94-108

DOI: 10.1016/j.najef.2013.04.001

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