Versión electrónica ISSN 0718 - 1566
Versión impresa ISSN 0716 - 1921

  Abstract
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.