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Integration or Segmentation of the Canadian Stock Market: Evidence Based on the APT

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  • George Koutoulas
  • Lawrence Kryzanowski
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    Abstract

    The domestic and international arbitrage pricing theories are modified to encompass the hypotheses that the Canadian and global North American equity markets are completely or partly integrated (segmented). The exchange rate determination literature is used to identify potentially priced binational factors, and the sensitivities and factor prices are estimated using nonlinear seemingly unrelated regression. The two equity markets are only partly integrated (segmented). Canadian stock returns are influenced by the pure domestic components of the term structure and lagged industrial production and by the pure international components of the differential in the Canada/U.S. leading indicators and the interest rate of Eurodeposits.

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    File URL: http://links.jstor.org/sici?sici=0008-4085%28199405%2927%3A2%3C329%3AIOSOTC%3E2.0.CO%3B2-J
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    Bibliographic Info

    Article provided by Canadian Economics Association in its journal Canadian Journal of Economics.

    Volume (Year): 27 (1994)
    Issue (Month): 2 (May)
    Pages: 329-51

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    Handle: RePEc:cje:issued:v:27:y:1994:i:2:p:329-51

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    Postal: Canadian Economics Association Prof. Steven Ambler, Secretary-Treasurer c/o Olivier Lebert, CEA/CJE/CPP Office C.P. 35006, 1221 Fleury Est Montréal, Québec, Canada H2C 3K4
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    Cited by:
    1. Tarek M. Harchaoui & Pierre Lasserre, 1995. "Testing the Option Value Theory of Irreversible Investment," CIRANO Working Papers 95s-41, CIRANO.
    2. Charle Augusto Llondoño, 2011. "Regresión del cuantil aplicada al modelo de redes neuronales artificiales. Una aproximación de la estructura CAViaR para el mercado de valores colombi," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE.
    3. Chung, Richard & Kryzanowski, Lawrence, 2001. "Tests of investor cognizance using earnings forecasts of North American analysts," International Review of Economics & Finance, Elsevier, vol. 10(2), pages 187-204.
    4. Kryzanowski, Lawrence & Mohsni, Sana, 2010. "Capital returns, costs and EVA for Canadian firms," The North American Journal of Economics and Finance, Elsevier, vol. 21(3), pages 256-273, December.
    5. Chrétien, Stéphane & Coggins, Frank, 2009. "Election outcomes and financial market returns in Canada," The North American Journal of Economics and Finance, Elsevier, vol. 20(1), pages 1-23, March.
    6. He, Zhongzhi & Kryzanowski, Lawrence, 2007. "Cost of equity for Canadian and U.S. sectors," The North American Journal of Economics and Finance, Elsevier, vol. 18(2), pages 215-229, August.
    7. M. Martin Boyer & Didier Filion, 2004. "Common and Fundamental Factors in Stock Returns of Canadian Oil and Gas Companies," CIRANO Working Papers 2004s-62, CIRANO.
    8. Kryzanowski, Lawrence & Rubalcava, Arturo, 2005. "International trade-venue clienteles and order-flow competitiveness," Journal of Financial Intermediation, Elsevier, vol. 14(1), pages 86-113, January.
    9. Marie-Claude Beaulieu & Lynda Khalaf & Marie-Hélène Gagnon, 2006. "Testing Financial Integration: Finite Sample Motivated Mothods," Computing in Economics and Finance 2006 233, Society for Computational Economics.

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