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Equity market integration in the NAFTA region: Evidence from unit root and cointegration tests

  • Aggarwal, Raj
  • Kyaw, NyoNyo A.

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Article provided by Elsevier in its journal International Review of Financial Analysis.

Volume (Year): 14 (2005)
Issue (Month): 4 ()
Pages: 393-406

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Handle: RePEc:eee:finana:v:14:y:2005:i:4:p:393-406
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  1. 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.
  2. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  3. 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.
  4. Kasa, Kenneth, 1992. "Common stochastic trends in international stock markets," Journal of Monetary Economics, Elsevier, vol. 29(1), pages 95-124, February.
  5. 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.
  6. 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.
  7. 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.
  8. 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.
  9. William Easterly & Norbert Fiess & Daniel Lederman, 2003. "NAFTA and Convergence in North America: High Expectations, Big Events, Little Time," ECONOMIA JOURNAL OF THE LATIN AMERICAN AND CARIBBEAN ECONOMIC ASSOCIATION, ECONOMIA JOURNAL OF THE LATIN AMERICAN AND CARIBBEAN ECONOMIC ASSOCIATION, August.
  10. Raymond Robertson, 2000. "Wage Shocks and North American Labor-Market Integration," American Economic Review, American Economic Association, vol. 90(4), pages 742-764, September.
  11. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
  12. Charles Engel & John H. Rogers, 1994. "How Wide is the Border?," NBER Working Papers 4829, National Bureau of Economic Research, Inc.
  13. Salvatore, Dominick, 2001. "Which countries in the Americas should dollarize?," Journal of Policy Modeling, Elsevier, vol. 23(3), pages 347-355, April.
  14. 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.
  15. 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.
  16. 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.
  17. Michael J. Chriszt, 2000. "Perspectives on a potential North American monetary union," Economic Review, Federal Reserve Bank of Atlanta, issue Q4, pages 29-38.
  18. 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.
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