On the linkages of the stock markets of the NAFTA countries : fundamentals or speculative bubbles? created by

By:

Pierdzioch, Christian [author]

Contributor(s):

Kizys, Renatas [co-author]

Material type: Text

TextSeries: International economic journal ; Volume 27, number 3Abingdon: Taylor and Francis, 2013Content type:

text

Media type:

unmediated

Carrier type:

volume

ISSN:

10168737

Subject(s):

NAFTA -- Fundamentals -- Speculative bubbles, State-space model, Cointegration analysis, Stock market, Free trade agreement -- USMCA countries

LOC classification:

HB1A1 INT

Online resources:

Click here to access online

Abstract: We analyze whether the linkages between the stock markets of the NAFTA member countries (Canada, Mexico, and the United States) reflect movements in fundamentals or speculative bubbles. To this end, we estimate a state-space model to decompose the stock market indexes of the three NAFTA member countries into fundamentals and speculative bubbles. We analyze the linkages of the three stock markets by means of cointegration techniques. Evidence of cointegration linkages between fundamentals is stronger than evidence of cointegration linkages between speculative bubbles.

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Holdings
Item type	Current library	Call number	Vol info	Copy number	Status	Notes	Date due	Barcode
Journal Article	Main Library - Special Collections	HB1A1 INT (Browse shelf(Opens below))	Vol. 27, no. 3 (pages 415-440)	SP18073	Not for loan	For In house Use

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We analyze whether the linkages between the stock markets of the NAFTA member countries (Canada, Mexico, and the United States) reflect movements in fundamentals or speculative bubbles. To this end, we estimate a state-space model to decompose the stock market indexes of the three NAFTA member countries into fundamentals and speculative bubbles. We analyze the linkages of the three stock markets by means of cointegration techniques. Evidence of cointegration linkages between fundamentals is stronger than evidence of cointegration linkages between speculative bubbles.

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