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

C. Pierdzioch, Renatas Kizys

Research output: Contribution to journalArticlepeer-review

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.
Original languageEnglish
Pages (from-to)415-440
Number of pages26
JournalInternational Economic Journal
Volume27
Issue number3
DOIs
Publication statusPublished - 2013

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