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2016 | 2 (16) | nr 1 | 53--65
Tytuł artykułu

Co-movements of NAFTA Stock Markets : Grangercausality Analysis

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The paper scrutinizes the causal relationship between performance of American, Canadian and Mexican stock markets. It is aimed at answering the question as to whether there is a one way or two way causal link between the performance of stock markets (or possibly no causality at all) in the case of NAFTA members during 1992-1993 (pre-NAFTA period) and 1994-2013 (NAFTA in force). The study finds bivariate Granger causality for American and Canadian indexes in the periods: 1980-1988 and 1994-2013. Additionally the American index Grangercaused Mexican index during all the included periods, apart from 1992-1993, but the Canadian index did not Granger-cause the Mexican index at all. Moreover the Mexican index was a Granger-cause of the Canadian index in years 1994-2013 and a Grangercause of the American index during period 1992-1993. (original abstract)
Opis fizyczny
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