Transmission of conditional stock returen volatility across north american markets:evidence from pre- and post-nafta

摘要

There has been condierable interest in whether stock market volatility is predictable and the extent to which cross-market relationships exist.This article examines the transmission of conditioinal stock price returen 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.