Resumo

ORTIZ, Édgar; LOPEZ HERRERA, Francisco  e  CABELLO, Alejandra. Las bolsas de valores en el área del TLCAN: un análisis a largo plazo. Prob. Des [online]. 2007, vol.38, n.151, pp.37-61. ISSN 0301-7036.

In this document we analyze the process of capital market integration in the countries making up the North American Free Trade Agreement (NAFTA) for the period 1984-2002, using an econometric model that captures their long-term relationships. Unit root tests by Perron and Zivot (1989) and by Andrews (1992) make it possible to identify structural changes in the Mexican Stock Exchange (BMV) Prices and Quotations Index (IPC). The study of long-term relations between these markets is based on the Johansen, Mosconi and Nielsen model (2000) which extends a co-integration analysis to a case in which structural changes occur. The empirical evidence suggests that integration among NAFTA's capital markets is changing over time, with periods even when the intensity of their relations declines.

Palavras-chave : capital market integration-segmentation; co-integration; international portfolio diversification; structural ruptures; NAFTA.

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