Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience
Stephen Miller () and
Stephen K. Pollard
Additional contact information
Stephen K. Pollard: California State University, Los Angeles
No 2008-49, Working papers from University of Connecticut, Department of Economics
This paper explores the dynamic linkages that portray different facets of the joint probability distribution of stock market returns in NAFTA (i.e., Canada, Mexico, and the US). Our examination of interactions of the NAFTA stock markets considers three issues. First, we examine the long-run relationship between the three markets, using cointegration techniques. Second, we evaluate the dynamic relationships between the three markets, using impulse-response analysis. Finally, we explore the volatility transmission process between the three markets, using a variety of multivariate GARCH models. Our results also exhibit significant volatility transmission between the second moments of the NAFTA stock markets, albeit not homogenous. The magnitude and trend of the conditional correlations indicate that in the last few years, the Mexican stock market exhibited a tendency toward increased integration with the US market. Finally, we do note that evidence exists that the Peso and Asian financial crises as well as the stock-market crash in the US affect the return and volatility time-series relationships.
Keywords: NAFTA stock markets; cointegration; impulse response; volatility transmission (search for similar items in EconPapers)
JEL-codes: G10 C30 C50 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cfn, nep-fmk, nep-rmg and nep-sea
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed
Published in Stock Returns: Cyclicality, Prediction, and Economic Consequences, Ed. G. I. Ellison, Nova Science Publishers, Inc., 4th quarter 2009.
Downloads: (external link)
https://media.economics.uconn.edu/working/2008-49.pdf Full text (application/pdf)
Working Paper: Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience (2009)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:uct:uconnp:2008-49
Access Statistics for this paper
More papers in Working papers from University of Connecticut, Department of Economics University of Connecticut 365 Fairfield Way, Unit 1063 Storrs, CT 06269-1063. Contact information at EDIRC.
Bibliographic data for series maintained by Mark McConnel ().