Additional Evidence on Integration in the Canadian Stock Market



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    • Faculty of Management, University of Manitoba. The author is grateful to Rex Thompson, Eduardo Schwartz, Jeong Lee, René Stulz, and an anonymous referee for many helpful comments and suggestions. The author also thanks Brian Prucyk and Saurabh Srivastava for research assistance. The financial assistance from the University of Manitoba Research Grants Committee is acknowledged.


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.