Financial Market Integration Between Stock Market From North American Free Trade Agreement (NAFTA) Member
نویسندگان
چکیده
Economic recession or crisis could show a higher possibility of financial transmission in an integrated stock market. Integration between markets is channel spreading the devastating effects crisis. The objective this study to detect significant interactions among countries that are members North American Free Trade Agreement (NAFTA). NAFTA regional partnership with from United States, Canada and Mexico committed reducing trade investment barriers member countries. methodology research VAR VECM model consists three stages, first analysis presence impact market index using Granger Causality Test. Second, analyze speed response change / shock another Impulse Response Function (IRF). third stage analyzes changes shocks one other indices by Variance Decomposition. From 5 sets data for countries, results there only cointegration. When viewed cointegration process each two series, occurs Nasdaq TSE MSE. Whereas MSE did not find any
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ژورنال
عنوان ژورنال: Jurnal Akuntansi dan Pajak
سال: 2021
ISSN: ['1412-629X', '2579-3055']
DOI: https://doi.org/10.29040/jap.v21i02.1518