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dc.contributor.author | Khan, Aamir | en_US |
dc.date.accessioned | 2014-09-17T17:29:22Z | |
dc.date.available | 2014-09-17T17:29:22Z | |
dc.date.issued | 2014-09-17 | |
dc.date.submitted | January 2014 | en_US |
dc.identifier.other | DISS-12794 | en_US |
dc.identifier.uri | http://hdl.handle.net/10106/24725 | |
dc.description.abstract | This dissertation examines the long-run linkage among the equity markets and sectors of the NAFTA economies by employing Cointegration and Vector Error Correction Model (VECM) framework. In addition, I also seek to identify the short-run & long-run causality and the direction of adjustment factor among the sectors of the US, Canadian and Mexican markets. Furthermore, I develop a multivariate model to examine the long-run impact of exchange rates on the linkage among the NAFTA markets & sectors. In addition, I also investigate the impact of US trade flow on the causal relationship it has with that of the Canadian & Mexican markets and sector indices.My overall findings reflect existence of diversification opportunities in the NAFTA markets. However in many cases, I do find evidence of short-run and long-run linkage among the market & sectors of the US economy with that of the market & sectors of the Canadian and Mexican economies, thus, reflecting fewer diversification opportunities available across sectors. Additionally, I also find strong evidence of exchange rates having an influence over the long run relationship among the sectors and market indices of the NAFTA countries. Furthermore, I also discover evidence of short run causality between the US trade and the market and sector indices of Canada and Mexico. | en_US |
dc.description.sponsorship | Diltz, John David | en_US |
dc.language.iso | en | en_US |
dc.publisher | Finance & Real Estate | en_US |
dc.title | Cointegration, Causality And Price Discovery In The NAFTA Markets: A Study Of Sector Indices And Trade Flow Data From The Perspective Of US Markets | en_US |
dc.type | Ph.D. | en_US |
dc.contributor.committeeChair | Diltz, John David | en_US |
dc.degree.department | Finance & Real Estate | en_US |
dc.degree.discipline | Finance & Real Estate | en_US |
dc.degree.grantor | University of Texas at Arlington | en_US |
dc.degree.level | doctoral | en_US |
dc.degree.name | Ph.D. | en_US |
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