Long-term relation between Mexican and American Shares Market
This paper investigates if the relationships between the Mexican and the American stock market, presented
by Arellano (1993), are still maintainable for the 1980-2007 period. In order to accomplish this, a cointegration analysis
has been made in accordance with the methodology of Engle and Granger (1987) and Johansen (1991). The results
show that both markets are not cointegrated. The explanation presented in our research comes from the structural
break in the cointegration relationship for the period indicated, backed by the chaos theory. Specifically it has been
corroborated that there is a chaotic behavior in those series.