메뉴 건너뛰기




Volumn 14, Issue 4, 2005, Pages 393-406

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

Author keywords

Cointegration; Financial market integration; NAFTA

Indexed keywords


EID: 24144476279     PISSN: 10575219     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.irfa.2004.10.008     Document Type: Article
Times cited : (62)

References (31)
  • 4
    • 0041595362 scopus 로고    scopus 로고
    • Competitiveness and the convergence of international business practice: North American evidence after NAFTA
    • G.P. Braun & P.A. Traichal Competitiveness and the convergence of international business practice: North American evidence after NAFTA Global Finance Journal 10 1999 107-122
    • (1999) Global Finance Journal , vol.10 , pp. 107-122
    • Braun, G.P.1    Traichal, P.A.2
  • 5
    • 0026488515 scopus 로고
    • A North American Free Trade Agreement: Analytical issues and a computational assessment
    • January
    • D.K. Brown A.V. Deardorff & R.M. Stern A North American Free Trade Agreement: Analytical issues and a computational assessment World Economy 15 No. 1 1992, January 11-29
    • (1992) World Economy , vol.15 , Issue.1 , pp. 11-29
    • Brown, D.K.1    Deardorff, A.V.2    Stern, R.M.3
  • 8
    • 24144448329 scopus 로고    scopus 로고
    • Equity market linkages and multinational trade agreements: The case of NAFTA
    • Forthcoming
    • Darrat, A. F., & Zhong, M. (2004). Equity market linkages and multinational trade agreements: The case of NAFTA. Journal of International Money and Finance, Forthcoming.
    • (2004) Journal of International Money and Finance
    • Darrat, A.F.1    Zhong, M.2
  • 9
    • 85036258669 scopus 로고
    • Distribution of the estimators for autoregressive time series with a unit root
    • D.A. Dickey & W.A. Fuller Distribution of the estimators for autoregressive time series with a unit root Journal of American Statistical Association 74 1979 423-431
    • (1979) Journal of American Statistical Association , vol.74 , pp. 423-431
    • Dickey, D.A.1    Fuller, W.A.2
  • 10
    • 0142004898 scopus 로고    scopus 로고
    • NAFTA and convergence in North America: High expectations, big events, little time
    • Working Paper. New York University
    • Easterly, W., Fiess, N., & Lederman, D. (2003). NAFTA and convergence in North America: High expectations, big events, little time. Working Paper. New York University.
    • (2003)
    • Easterly, W.1    Fiess, N.2    Lederman, D.3
  • 13
    • 24144442220 scopus 로고    scopus 로고
    • Transmission of conditional stock return volatility across North American markets
    • B.T. Ewing J.E. Payne & C. Sowell Transmission of conditional stock return volatility across North American markets International Trade Journal 15 2001 409-427
    • (2001) International Trade Journal , vol.15 , pp. 409-427
    • Ewing, B.T.1    Payne, J.E.2    Sowell, C.3
  • 15
    • 0040406233 scopus 로고    scopus 로고
    • Shareholder wealth effects of free trade: US and Mexican stock market response to NAFTA
    • R.C. Hanson & M.H. Song Shareholder wealth effects of free trade: US and Mexican stock market response to NAFTA International Review of Economics and Finance 7 1998 209-224
    • (1998) International Review of Economics and Finance , vol.7 , pp. 209-224
    • Hanson, R.C.1    Song, M.H.2
  • 17
    • 84981579311 scopus 로고
    • Maximum likelihood estimation and inference on cointegration: With applications to the demand for money
    • S. Johansen & K. Juselius Maximum likelihood estimation and inference on cointegration: With applications to the demand for money Oxford Bulletin of Economics and Statistics 52 1990 169-210
    • (1990) Oxford Bulletin of Economics and Statistics , vol.52 , pp. 169-210
    • Johansen, S.1    Juselius, K.2
  • 18
    • 84934443059 scopus 로고
    • A multivariate GARCH model of international transmissions of stock returns and volatility
    • G.A. Karolyi A multivariate GARCH model of international transmissions of stock returns and volatility Journal of Business and Economic Statistics 13 1995 11-25
    • (1995) Journal of Business and Economic Statistics , vol.13 , pp. 11-25
    • Karolyi, G.A.1
  • 19
    • 0002653201 scopus 로고
    • Common stochastic trends in international stock markets
    • K. Kasa Common stochastic trends in international stock markets Journal of Monetary Economics 29 1992 95-124
    • (1992) Journal of Monetary Economics , vol.29 , pp. 95-124
    • Kasa, K.1
  • 20
    • 0033416446 scopus 로고    scopus 로고
    • The North American free trade agreement, emerging apparel production networks and industrial upgrading: The southern California/Mexico connection
    • J.A. Kessler The North American free trade agreement, emerging apparel production networks and industrial upgrading: The southern California/ Mexico connection Review of International Political Economy 6 1999 565-608
    • (1999) Review of International Political Economy , vol.6 , pp. 565-608
    • Kessler, J.A.1
  • 21
    • 34247480179 scopus 로고
    • Testing the null hypothesis of stationarity against the alternative of a unit root
    • D. Kwiatkowski P.C.B. Phillips P. Schmidt & Y. Shin Testing the null hypothesis of stationarity against the alternative of a unit root Journal of Econometrics 54 1992 159-178
    • (1992) Journal of Econometrics , vol.54 , pp. 159-178
    • Kwiatkowski, D.1    Phillips, P.C.B.2    Schmidt, P.3    Shin, Y.4
  • 22
    • 0041825476 scopus 로고    scopus 로고
    • The evidence from Canadian firms on multinational diversification and performance
    • I. Mathur M. Singh & K.C. Gleason The evidence from Canadian firms on multinational diversification and performance Quarterly Review of Economics and Finance 41 2001 561-578
    • (2001) Quarterly Review of Economics and Finance , vol.41 , pp. 561-578
    • Mathur, I.1    Singh, M.2    Gleason, K.C.3
  • 23
    • 0000435116 scopus 로고
    • National borders matter: Regional trade patterns in North America
    • J. McCallum National borders matter: Regional trade patterns in North America American Economic Review 85 1995 615-623
    • (1995) American Economic Review , vol.85 , pp. 615-623
    • McCallum, J.1
  • 24
    • 0000631178 scopus 로고
    • A note with quantiles of the asymptotic distribution of the maximum likelihood conintegration rank test statistics
    • M. Osterwald-Lenum A note with quantiles of the asymptotic distribution of the maximum likelihood conintegration rank test statistics Oxford Bulletin of Economics and Statistics 54 1992 461-472
    • (1992) Oxford Bulletin of Economics and Statistics , vol.54 , pp. 461-472
    • Osterwald-Lenum, M.1
  • 25
    • 27644580196 scopus 로고
    • Trends and random walks in macroeconomic time series: Further evidence from a new approach
    • P. Perron Trends and random walks in macroeconomic time series: Further evidence from a new approach Journal of Economic Dynamics and Control 12 1988 297-332
    • (1988) Journal of Economic Dynamics and Control , vol.12 , pp. 297-332
    • Perron, P.1
  • 26
    • 0000308535 scopus 로고
    • Time series regression with a unit root
    • P.C.B. Phillips Time series regression with a unit root Econometrica 55 1987 277-301
    • (1987) Econometrica , vol.55 , pp. 277-301
    • Phillips, P.C.B.1
  • 27
    • 0000923251 scopus 로고
    • Co-movements in national stock market returns: Evidence of predictability, but not cointegration
    • A.J. Richards Co-movements in national stock market returns: Evidence of predictability, but not cointegration Journal of Monetary Economics 36 1995 631-654
    • (1995) Journal of Monetary Economics , vol.36 , pp. 631-654
    • Richards, A.J.1
  • 28
    • 24144453661 scopus 로고    scopus 로고
    • International financial contagion: Theory and evidence in evolution
    • Charlottesville, VA: Publication of the Research Foundation of AIMR
    • R. Rigobon International financial contagion: Theory and evidence in evolution 2002 Publication of the Research Foundation of AIMR Charlottesville, VA
    • (2002)
    • Rigobon, R.1
  • 29
    • 0001649185 scopus 로고    scopus 로고
    • Wage shocks and North American labor-market integration
    • R. Robertson Wage shocks and North American labor-market integration American Economic Review 90 2000 742-764
    • (2000) American Economic Review , vol.90 , pp. 742-764
    • Robertson, R.1
  • 30
    • 0041370238 scopus 로고    scopus 로고
    • Which countries in the Americas should dollarize?
    • D. Salvatore Which countries in the Americas should dollarize? Journal of Policy Modeling 23 2001 347-355
    • (2001) Journal of Policy Modeling , vol.23 , pp. 347-355
    • Salvatore, D.1
  • 31
    • 0000901623 scopus 로고
    • Trade liberalization, competitive advantage, and scale economies: Stock market evidence from Canada
    • A. Thompson Trade liberalization, competitive advantage, and scale economies: Stock market evidence from Canada Journal of International Economics 35 1994 1-27
    • (1994) Journal of International Economics , vol.35 , pp. 1-27
    • Thompson, A.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.