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

Co-movements of NAFTA Stock Markets : Grangercausality Analysis

Autorzy
Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
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)
Rocznik
Tom
Numer
Strony
53--65
Opis fizyczny
Twórcy
  • Warsaw School of Economics, Poland
Bibliografia
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Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171429580

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