Dynamic multibeta macroeconomic asset pricing model at NAFTA stock markets

Recent financial literature confirms the influence of macroeconomic factors in asset pricing for the case of developed countries. Additionally, an ample body of literature also suggests a trend towards integration among them. Because the same kernel of macroeconomic factors affects their returns. The evidence for emerging markets is inconclusive. Particularly, emerging markets have been identified as partially segmented from global markets. Studies at regional level confirm this view. Applying a multifactor beta model, this papers examines the case of the HAFTA countries, Mexico, Canada and United States. Its objectives are, first, identify the relationship between local macroeconomic factors and asset pricing at each market; and, second, examine the integration of each market to global market macroeconomic variables. Results show that local factors weight more than international factors at each market, revealing mild segmentation among these markets. The level of integration of local markets with global variables is greater for United States, while for Mexico is the lowest.