TRANSMISSION OF CONDITIONAL STOCK RETURN VOLATILITY ACROSS NORTH AMERICAN MARKETS: Evidence from Pre- and Post-NAFTA
There has been considerable interest in whether stock market volatility is predictable and the extent to which cross-market relationships exist. This article examines the transmission of conditional stock price return volatility across the U.S., Canadian, and Mexican markets. Using daily data over the period 6/2/92-10/28/99 we provide empirical evidence on the extent to which cross-market relationships exist in the pre- and post-NAFTA periods.
Document Type: Research Article
Publication date: 01 October 2001
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