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...

In this paper, we examine the scope for international stock portfolio diversification, from the viewpoint of a United States representative investor, in regard to both the Asian and the European stock markets. Our findings indicate that despite correlation style evidence to the contrary, the...