کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
9726011 | 1477962 | 2005 | 14 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Equity market integration in the NAFTA region: Evidence from unit root and cointegration tests
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This study examines integration of the three participating equity markets before and after the 1993 passage of NAFTA based on daily, weekly, and monthly data. As expected, unit root tests for the overall period 1988-2001 and the two subperiods, 1988-1993 (pre-NAFTA) and 1994-2001 (post-NAFTA), indicate that stock prices are non-stationary but stock returns are generally stationary for all three markets for all three periods. However, daily, weekly, and monthly equity prices in the three NAFTA countries are cointegrated only for the post-NAFTA period. Similarly, US stock prices are more integrated with both Canadian and Mexican stock prices after the passage of NAFTA. This evidence of increased financial integration and co-movement in NAFTA equity markets after the passage of NAFTA has important implications for policymakers and managers.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 14, Issue 4, 2005, Pages 393-406
Journal: International Review of Financial Analysis - Volume 14, Issue 4, 2005, Pages 393-406
نویسندگان
Raj Aggarwal, NyoNyo A. Kyaw,