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On the linkages of the stock markets of the NAFTA countries: fundamentals or speculative bubbles?

On the linkages of the stock markets of the NAFTA countries: fundamentals or speculative bubbles?
On the linkages of the stock markets of the NAFTA countries: fundamentals or speculative bubbles?
We analyze whether the linkages between the stock markets of the NAFTA member countries (Canada, Mexico, and the United States) reflect movements in fundamentals or speculative bubbles. To this end, we estimate a state-space model to decompose the stock market indexes of the three NAFTA member countries into fundamentals and speculative bubbles. We analyze the linkages of the three stock markets by means of cointegration techniques. Evidence of cointegration linkages between fundamentals is stronger than evidence of cointegration linkages between speculative bubbles.
1016-8737
415-440
Pierdzioch, C.
60eb79c6-d98e-4ceb-a634-9acaf7ebc451
Kizys, Renatas
9d3a6c5f-075a-44f9-a1de-32315b821978
Pierdzioch, C.
60eb79c6-d98e-4ceb-a634-9acaf7ebc451
Kizys, Renatas
9d3a6c5f-075a-44f9-a1de-32315b821978

Pierdzioch, C. and Kizys, Renatas (2013) On the linkages of the stock markets of the NAFTA countries: fundamentals or speculative bubbles? International Economic Journal, 27 (3), 415-440. (doi:10.1080/10168737.2012.660182).

Record type: Article

Abstract

We analyze whether the linkages between the stock markets of the NAFTA member countries (Canada, Mexico, and the United States) reflect movements in fundamentals or speculative bubbles. To this end, we estimate a state-space model to decompose the stock market indexes of the three NAFTA member countries into fundamentals and speculative bubbles. We analyze the linkages of the three stock markets by means of cointegration techniques. Evidence of cointegration linkages between fundamentals is stronger than evidence of cointegration linkages between speculative bubbles.

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e-pub ahead of print date: 30 March 2012
Published date: 2013

Identifiers

Local EPrints ID: 434497
URI: http://eprints.soton.ac.uk/id/eprint/434497
ISSN: 1016-8737
PURE UUID: bb8573d4-a48a-4cce-a4bb-a774d7e448d3
ORCID for Renatas Kizys: ORCID iD orcid.org/0000-0001-9104-1809

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Date deposited: 25 Sep 2019 16:30
Last modified: 09 Jan 2022 04:07

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Contributors

Author: C. Pierdzioch
Author: Renatas Kizys ORCID iD

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