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Essays On Market Linkages In Nafta And Latin American Countries: Studies Of Cointegration And Contagion, John K. Tarwater
Essays On Market Linkages In Nafta And Latin American Countries: Studies Of Cointegration And Contagion, John K. Tarwater
Theses and Dissertations
The globalization of securities in recent years has led to an increase in market linkages. These linkages are strong among countries that have entered into bilateral and multilateral trade agreements. I investigate the linkages of stock markets in NAFTA countries by exploring their cointegrating relationship, and I explore market linkages in Latin America by showing evidence of financial contagion between Brazil and her Latin American neighbors.
In the first essay, I employ a vector error correction model to examine the linkages between price stock indexes of NAFTA countries that have been segregated into tiers based on market capitalization. In each …