A further look at linkages between NAFTA equity markets. The Quarterly Review of Economics and Finance
Recent research finds evidence for convergence among the North American equity markets and argues that this is generated by the North Atlantic Free Trade Accord (NAFTA). In this paper, we re-examine these conclusions and show that the documented cointegration property among the NAFTA equity markets...
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ftciteseerx:oai:CiteSeerX.psu:10.1.1.598.3837 2023-05-15T17:32:12+02:00 A further look at linkages between NAFTA equity markets. The Quarterly Review of Economics and Finance Cetin Ciner The Pennsylvania State University CiteSeerX Archives 2006 application/pdf http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.598.3837 http://www.csb.uncw.edu/people/cinerc/courses web page/research/further look at nafta equity market linkages.pdf en eng http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.598.3837 http://www.csb.uncw.edu/people/cinerc/courses web page/research/further look at nafta equity market linkages.pdf Metadata may be used without restrictions as long as the oai identifier remains attached to it. http://www.csb.uncw.edu/people/cinerc/courses web page/research/further look at nafta equity market linkages.pdf NAFTA Industry effects Market integration Cointegration text 2006 ftciteseerx 2016-01-08T13:50:31Z Recent research finds evidence for convergence among the North American equity markets and argues that this is generated by the North Atlantic Free Trade Accord (NAFTA). In this paper, we re-examine these conclusions and show that the documented cointegration property among the NAFTA equity markets was in fact confined to a sub-period in the late 1990s. We argue that the comovement was caused by the global boom in information technology shares and the resulting change in the sector mix of the value-weighted benchmark indexes used in prior work. We present evidence supporting this alternative hypothesis using an updated data set that includes global industry indexes. Our results have implications for transmission of information across global equity markets and international portfolio diversification. Text North Atlantic Unknown |
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English |
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NAFTA Industry effects Market integration Cointegration |
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NAFTA Industry effects Market integration Cointegration Cetin Ciner A further look at linkages between NAFTA equity markets. The Quarterly Review of Economics and Finance |
topic_facet |
NAFTA Industry effects Market integration Cointegration |
description |
Recent research finds evidence for convergence among the North American equity markets and argues that this is generated by the North Atlantic Free Trade Accord (NAFTA). In this paper, we re-examine these conclusions and show that the documented cointegration property among the NAFTA equity markets was in fact confined to a sub-period in the late 1990s. We argue that the comovement was caused by the global boom in information technology shares and the resulting change in the sector mix of the value-weighted benchmark indexes used in prior work. We present evidence supporting this alternative hypothesis using an updated data set that includes global industry indexes. Our results have implications for transmission of information across global equity markets and international portfolio diversification. |
author2 |
The Pennsylvania State University CiteSeerX Archives |
format |
Text |
author |
Cetin Ciner |
author_facet |
Cetin Ciner |
author_sort |
Cetin Ciner |
title |
A further look at linkages between NAFTA equity markets. The Quarterly Review of Economics and Finance |
title_short |
A further look at linkages between NAFTA equity markets. The Quarterly Review of Economics and Finance |
title_full |
A further look at linkages between NAFTA equity markets. The Quarterly Review of Economics and Finance |
title_fullStr |
A further look at linkages between NAFTA equity markets. The Quarterly Review of Economics and Finance |
title_full_unstemmed |
A further look at linkages between NAFTA equity markets. The Quarterly Review of Economics and Finance |
title_sort |
further look at linkages between nafta equity markets. the quarterly review of economics and finance |
publishDate |
2006 |
url |
http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.598.3837 http://www.csb.uncw.edu/people/cinerc/courses web page/research/further look at nafta equity market linkages.pdf |
genre |
North Atlantic |
genre_facet |
North Atlantic |
op_source |
http://www.csb.uncw.edu/people/cinerc/courses web page/research/further look at nafta equity market linkages.pdf |
op_relation |
http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.598.3837 http://www.csb.uncw.edu/people/cinerc/courses web page/research/further look at nafta equity market linkages.pdf |
op_rights |
Metadata may be used without restrictions as long as the oai identifier remains attached to it. |
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1766130214408028160 |