文章基本信息

标题：COINTEG RATION TRENDS AMONG THE NAFTA EQUITY MARKETS
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作者：Francisco López-Herrera ; Edgar Ortiz
期刊名称：Revista de Economía Mundial
印刷版ISSN：1576-0162
出版年度：2010
期号：26
页码：155-176
语种：English
出版社：Sociedad de Economía Mundial
摘要：Recent economic and financial liberalization policies have increased the internationalization of emerging markets. A daring strategy undertaken by Mexico constituted the North America Free Trade Agreement (NAFTA); in addition to increased trade and investments, it should have led to stronger links among the equity markets from Canada, United States and Mexico. This study tests a "first generation" financial integration among those markets, applying Johansen's cointegration technique. It also examines integration between the NAFTA markets and the world capital market. Results evidence a time-varying integration process among NAFTA equity markets. Integration of the NAFTA capital markets to the world capital market evidences a mild segmentation and a time-varying integration as well.
其他摘要：Recent economic and financial liberalization policies have increased the internationalization of emerging markets. A daring strategy undertaken by Mexico constituted the North America Free Trade Agreement (NAFTA); in addition to increased trade and investments, it should have led to stronger links among the equity markets from Canada, United States and Mexico. This study tests a "first generation" financial integration among those markets, applying Johansen's cointegration technique. It also examines integration between the NAFTA markets and the world capital market. Results evidence a time-varying integration process among NAFTA equity markets. Integration of the NAFTA capital markets to the world capital market evidences a mild segmentation and a time-varying integration as well.
关键词：Cointegration; Integration/segmentation; NAFTA; Mexico.
其他关键词：Cointegration; Integration/segmentation; NAFTA; Mexico.