This paper tests for the existence of a long-run co-movement between the three North American stock markets of Canada, Mexico, and the U.S. and examines whether or not the implementation of the North American Free Trade Agreement (NAFTA) has led to more integrated equity markets. Application of the Johansen and Juselius (1990) cointegration procedure indicates a long-term relationship. A vector error-correction (VEC) model establishes that all three markets are involved in the long-run adjustment toward equilibrium. Overall, the results suggest that the implementation of NAFTA has promoted greater economic integration between the three North American countries.
Gilmore, C.G. and McManus, G.M. (2004), "THE IMPACT OF NAFTA ON THE INTEGRATION OF THE CANADIAN, MEXICAN, AND U.S. EQUITY MARKETS", Rugman, A.M. (Ed.) North American Economic and Financial Integration (Research in Global Strategic Management, Vol. 10), Emerald Group Publishing Limited, Bingley, pp. 137-151. https://doi.org/10.1016/S1064-4857(04)10008-9
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