This research explores the dynamic linkages that portray different facets of the joint probability distribution of stock market returns in the North American Free Trade Area (NAFTA) – Canada, Mexico, and the US. Our examination of interactions of the NAFTA stock markets considers three issues. First, the authors examine the long-run relationship between the three markets, using cointegration techniques. Second, they evaluate the dynamic relationships between the three markets, using impulse-response analysis. Finally, they explore the volatility transmission process between the three markets, using a multivariate generalised auto-regressive conditional heteroskedasticity model. The results exhibit significant volatility transmission between the second moments of the NAFTA stock markets. The magnitude and trend of the conditional correlations indicate that in the last few years, Mexico’s stock market exhibited a tendency toward increased integration with the US market. Finally, the authors discuss the evidence that exists on the Peso and Asian financial crises as well as the stock-market crash in the US which has affected the return and volatility time-series relationships.