Equity market integration in the NAFTA region: Evidence from unit root and cointegration tests
AbstractNo abstract is available for this item.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal International Review of Financial Analysis.
Volume (Year): 14 (2005)
Issue (Month): 4 ()
Contact details of provider:
Web page: http://www.elsevier.com/locate/inca/620166
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- David M. Gould, 1998. "Has NAFTA changed North American trade?," Economic and Financial Policy Review, Federal Reserve Bank of Dallas, issue Q 1, pages 12-23.
- Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990.
"Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?,"
8905, Michigan State - Econometrics and Economic Theory.
- Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
- Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?," Cowles Foundation Discussion Papers 979, Cowles Foundation for Research in Economics, Yale University.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- Chung, Pin J. & Liu, Donald J., 1994. "Common stochastic trends in pacific rim stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 34(3), pages 241-259.
- Engel, C. & Rogers, J.H., 1995.
"How Wide is the Border?,"
4-95-16, Pennsylvania State - Department of Economics.
- Charles Engel & John H. Rogers, 1995. "How wide is the border?," International Finance Discussion Papers 498, Board of Governors of the Federal Reserve System (U.S.).
- Charles Engel & John H. Rogers, 1995. "How wide is the border?," Research Working Paper 95-09, Federal Reserve Bank of Kansas City.
- Charles Engel & John H. Rogers, 1994. "How Wide is the Border?," NBER Working Papers 4829, National Bureau of Economic Research, Inc.
- Peter C.B. Phillips, 1985.
"Time Series Regression with a Unit Root,"
Cowles Foundation Discussion Papers
740R, Cowles Foundation for Research in Economics, Yale University, revised Feb 1986.
- Perron, Pierre, 1988.
"Trends and random walks in macroeconomic time series : Further evidence from a new approach,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 12(2-3), pages 297-332.
- Perron, P., 1986. "Trends and Random Walks in Macroeconomic Time Series: Further Evidence From a New Approach," Cahiers de recherche 8650, Universite de Montreal, Departement de sciences economiques.
- Mathur, Ike & Singh, Manohar & Gleason, Kimberly C., 2001. "The evidence from Canadian firms on multinational diversification and performance," The Quarterly Review of Economics and Finance, Elsevier, vol. 41(4), pages 561-578.
- Raymond Robertson, 2000. "Wage Shocks and North American Labor-Market Integration," American Economic Review, American Economic Association, vol. 90(4), pages 742-764, September.
- William Easterly & Norbert Fiess & Daniel Lederman, 2003. "NAFTA and Convergence in North America: High Expectations, Big Events, Little Time," JOURNAL OF LACEA ECONOMIA, LACEA - LATIN AMERICAN AND CARIBBEAN ECONOMIC ASSOCIATION.
- Hanson, Robert C. & Song, Moon H., 1998. "Shareholder wealth effects of free trade: U.S. and Mexican stock market response to nafta," International Review of Economics & Finance, Elsevier, vol. 7(2), pages 209-224.
- Aggarwal, Raj & Long, Michael & Moore, Scott & Ervin, Danny, 1998. "Industry differences in NAFTA's impact on the valuation of U.S. companies," International Review of Financial Analysis, Elsevier, vol. 7(2), pages 137-152.
- Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
- Atteberry, William L. & Swanson, Peggy E., 1997. "Equity market integration: The case of North America," The North American Journal of Economics and Finance, Elsevier, vol. 8(1), pages 23-37.
- Braun, Gary P. & Traichal, Patrick A., 1999. "Competitiveness and the convergence of international business practice: North American evidence after NAFTA," Global Finance Journal, Elsevier, vol. 10(1), pages 107-122.
- Kasa, Kenneth, 1992. "Common stochastic trends in international stock markets," Journal of Monetary Economics, Elsevier, vol. 29(1), pages 95-124, February.
- Michael Chriszt, 2000. "Perspectives on a potential North American monetary union," Economic Review, Federal Reserve Bank of Atlanta, issue Q4, pages 29-38.
- Salvatore, Dominick, 2001. "Which countries in the Americas should dollarize?," Journal of Policy Modeling, Elsevier, vol. 23(3), pages 347-355, April.
- M. Barari & Brian Lucey & S. Voronkova, 2008. "Reassessing co-movements among G7 equity markets: evidence from iShares," Applied Financial Economics, Taylor & Francis Journals, vol. 18(11), pages 863-877.
- Ciner, Cetin, 2006. "A further look at linkages between NAFTA equity markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(3), pages 338-352, July.
- Nikolaos L. Hourvouliades, 2009. "International Portfolio Diversification: Evidence from European Emerging Markets," European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 55-78.
- Abbas, Qaisar & Khan, Sabeen & Shah, Syed Zulfiqar Ali, 2013. "Volatility transmission in regional Asian stock markets," Emerging Markets Review, Elsevier, vol. 16(C), pages 66-77.
- Pui Sun Tam & Pui I Tam, 2012. "Rethinking stock market integration: Globalization, valuation and convergence," SFB 649 Discussion Papers SFB649DP2012-052, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Arouri, Mohamed & Teulon, Frédéric & Rault, Christophe, 2013.
"Equity risk premium and regional integration,"
International Review of Financial Analysis,
Elsevier, vol. 28(C), pages 79-85.
- Mohamed El Hedi Arouri & Christophe Rault & Frédéric Teulon, 2013. "Equity Risk Premium and Regional Integration," Working Papers hal-00798052, HAL.
- Mohamed Arouri & Frédéric Teulon & Christophe Rault, 2014. "Equity Risk Premium and Regional Integration," Working Papers 2014-371, Department of Research, Ipag Business School.
- Mohamed El Hedi Arouri & Frédéric Teulon & Christophe Rault, 2013. "Equity Risk Premium and Regional Integration," CESifo Working Paper Series 4158, CESifo Group Munich.
- David McMillan & Isabel Ruiz & Alan Speight, 2010. "Correlations and spillovers among three euro rates: evidence using realised variance," The European Journal of Finance, Taylor & Francis Journals, vol. 16(8), pages 753-767.
- Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2009.
"Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience,"
0905, University of Nevada, Las Vegas , Department of Economics.
- Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2008. "Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience," Working papers 2008-49, University of Connecticut, Department of Economics.
- Tseng, Hsiou-Ying, 2010. "How does the removal of the United States short-sale rules impact three Latin American markets?," International Review of Financial Analysis, Elsevier, vol. 19(2), pages 127-133, March.
- Lahrech, Abdelmounaim & Sylwester, Kevin, 2013. "The impact of NAFTA on North American stock market linkages," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 94-108.
- Twm Evans & David G. McMillan, 2009. "Financial co-movement and correlation: evidence from 33 international stock market indices," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, vol. 1(3), pages 215-241.
- Srinivas Nippani & John G. Greenhut, 2011. "Reversal of the weekend effect in Canada: an empirical analysis," Managerial Finance, Emerald Group Publishing, vol. 37(9), pages 840-854, September.
- David G. McMillan & Isabel Ruiz, 2009. "Volatility dynamics in three euro exchange rates: correlations, spillovers and commonality," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 1(1), pages 64-74.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.