TY  - BOOK
AU  - Pierdzioch,Christian
AU  - Kizys,Renatas
TI  - On the linkages of the stock markets of the NAFTA countries: fundamentals or speculative bubbles?
SN  - 10168737
AV  - HB1A1 INT 
PY  - 2013///
CY  - Abingdon
PB  - Taylor and Francis
KW  - NAFTA
KW  - Fundamentals
KW  - Speculative bubbles, State-space model, Cointegration analysis, Stock market, Free trade agreement
KW  - USMCA countries
N2  - 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
UR  - https://doi.org/10.1080/10168737.2012.660182
ER  -