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Additional Evidence on Integration in the Canadian Stock Market
Author(s) -
MITTOO USHA R.
Publication year - 1992
Publication title -
the journal of finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 18.151
H-Index - 299
eISSN - 1540-6261
pISSN - 0022-1082
DOI - 10.1111/j.1540-6261.1992.tb04696.x
Subject(s) - stock (firearms) , financial economics , capital asset pricing model , economics , capital market , stock market , market segmentation , market integration , econometrics , monetary economics , business , macroeconomics , geography , finance , microeconomics , context (archaeology) , archaeology
This paper reexamines the integration of the Canadian and U.S. stock markets in the 1977–86 period that is relatively free from capital controls. The study employs both the CAPM and the APT frameworks. Under both models, the evidence is consistent with segmentation in the 1977–81 subperiod, but supports integration in the 1982–86 subperiod. Using the APT framework, we also find that the Canadian stocks interlisted on the U.S. exchanges and NASDAQ are priced in an integrated market and segmentation is predominant for the non‐interlisted Canadian stocks.