Integration or Segmentation of the Canadian Stock Market: Evidence Based on the APT
AbstractThe 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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Bibliographic InfoArticle provided by Canadian Economics Association in its journal Canadian Journal of Economics.
Volume (Year): 27 (1994)
Issue (Month): 2 (May)
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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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