Aamir Khan

Graduation Semester and Year

2014

Language

English

Document Type

Dissertation

Degree Name

Doctor of Philosophy in Finance

Department

Finance

First Advisor

John David Diltz

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.

Disciplines

Business | Finance and Financial Management | Real Estate

Comments

Degree granted by The University of Texas at Arlington

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