- Tytuł:
- Co-movements of NAFTA stock markets: Granger‑causality analysis
- Autorzy:
- Folfas, Paweł
- Tematy:
- NAFTA, stock markets, Granger-causality
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- Wydawca:
- Uniwersytet Ekonomiczny w Poznaniu
- Powiązania:
- https://bibliotekanauki.pl/articles/557673.pdf Link otwiera się w nowym oknie
- Opis:
- 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 Granger-caused 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 Granger-cause of the American index during period 1992–1993.
- Dostawca treści:
- Biblioteka Nauki
Artykuł