Volume 2 (16) Number 1 pp. 53-65
Co-movements of NAFTA stock markets: Granger‑causality analysis
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.
Keywords: NAFTA, stock markets, Granger-causality.
|MLA||Folfas, Paweł. "Co-movements of NAFTA stock markets: Granger‑causality analysis." Economics and Business Review EBR 16.1 (2016): 53-65. DOI: 10.18559/ebr.2016.1.4|
|APA||Folfas, P. (2016). Co-movements of NAFTA stock markets: Granger‑causality analysis. Economics and Business Review EBR 16(1), 53-65 DOI: 10.18559/ebr.2016.1.4|
|ISO 690||FOLFAS, Paweł. Co-movements of NAFTA stock markets: Granger‑causality analysis. Economics and Business Review EBR, 2016, 16.1: 53-65. DOI: 10.18559/ebr.2016.1.4|