Event Studies On The Effects Of The NAFTA And Asian Crisis: The Case Of Asia

Abstract

This study examines the effects of NAFTA implementation and Asian economic crisis on the inter-market relationships in Asia. Using the correlation analysis and the even-study model for a period of January 1992 – September 2006, this study finds that 1) the correlations between stock markets have been stable but volatile after the Asian crisis, 2) these markets became more integrated after the Asian crisis, and 3) the NAFTA hand no major effects on the inter-market relationships. Since there have been no significant changes in the inter-market relationships after these two major events, there still exists much benefit from diversification to the exploited in these markets.