Abstract

http://ssrn.com/abstract=642801
 
 

References (31)



 
 

Citations (4)



 


 



Equity Market Integration in the NAFTA Region: Evidence from Unit Root and Cointegration Tests


Raj Aggarwal


University of Akron - Department of Finance

Nyo Nyo A. Kyaw


Kent State University - Department of Finance

October 2004


Abstract:     
This study examines integration of the three participating equity markets before and after the 1993 passage of NAFTA based on daily, weekly, and monthly data for seven years before and after the passage of NAFTA (1988-2001). As expected, unit root tests for the overall period 1988-2001 and the two sub-periods, 1988-1993 (pre-NAFTA) and 1994-2001 (post-NAFTA), indicate that stock prices are non-stationary but stock returns are generally stationary for all three markets for all three periods. However, daily, weekly, and monthly equity prices in the three NAFTA countries are cointegrated only for the post-NAFTA period. Similarly, US stock prices are more integrated with both Canadian and Mexican stock prices after the passage of NAFTA. This evidence of increased financial integration and co-movement in NAFTA equity markets after the passage of NAFTA has important implications for policy makers and managers.

Number of Pages in PDF File: 24

Keywords: NAFTA, Cointegration, Financial Market Integration

JEL Classification: F36, F15, G15

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Date posted: January 5, 2005  

Suggested Citation

Aggarwal, Raj and Kyaw, Nyo Nyo A., Equity Market Integration in the NAFTA Region: Evidence from Unit Root and Cointegration Tests (October 2004). Available at SSRN: http://ssrn.com/abstract=642801 or http://dx.doi.org/10.2139/ssrn.642801

Contact Information

Raj Aggarwal (Contact Author)
University of Akron - Department of Finance ( email )
Akron, OH 44325-4803
United States
330-972-2780 (Phone)
HOME PAGE: http://www.uakron.edu/colleges/cba/facultylist/a/aggarwal.php
Nyo Nyo A. Kyaw
Kent State University - Department of Finance ( email )
College of Business Administration
P.O. Box 5190
Kent, OH 44242-0001
United States
330-672-1208 (Phone)
330-672-9806 (Fax)
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