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A Bayesian analysis of market information linkages among NAFTA countries using a multivariate stochastic volatility model

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  • Petra Fleischer
  • Ross Maller
  • Gernot Müller

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  • Petra Fleischer & Ross Maller & Gernot Müller, 2011. "A Bayesian analysis of market information linkages among NAFTA countries using a multivariate stochastic volatility model," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 35(2), pages 123-148, April.
    • Handle: RePEc:spr:jecfin:v:35:y:2011:i:2:p:123-148
    DOI: 10.1007/s12197-009-9086-2
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    1. M. Ayhan Kose & Guy M. Meredith & Christopher M. Towe, 2005. "How Has NAFTA Affected the Mexican Economy? Review and Evidence," Springer Books, in: Rolf J. Langhammer & Lúcio Vinhas Souza (ed.), Monetary Policy and Macroeconomic Stabilization in Latin America, pages 35-81, Springer.
    2. Jacquier, Eric & Polson, Nicholas G & Rossi, Peter E, 2002. "Bayesian Analysis of Stochastic Volatility Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 69-87, January.
    3. Tauchen, George E & Pitts, Mark, 1983. "The Price Variability-Volume Relationship on Speculative Markets," Econometrica, Econometric Society, vol. 51(2), pages 485-505, March.
    4. Grossman, Sanford J & Stiglitz, Joseph E, 1980. "On the Impossibility of Informationally Efficient Markets," American Economic Review, American Economic Association, vol. 70(3), pages 393-408, June.
    5. Fleming, Jeff & Kirby, Chris & Ostdiek, Barbara, 1998. "Information and volatility linkages in the stock, bond, and money markets," Journal of Financial Economics, Elsevier, vol. 49(1), pages 111-137, July.
    6. Andrew Harvey & Esther Ruiz & Neil Shephard, 1994. "Multivariate Stochastic Variance Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 61(2), pages 247-264.
    7. Carmen Broto & Esther Ruiz, 2004. "Estimation methods for stochastic volatility models: a survey," Journal of Economic Surveys, Wiley Blackwell, vol. 18(5), pages 613-649, December.
    8. Lamoureux, Christopher G & Lastrapes, William D, 1990. "Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects," Journal of Finance, American Finance Association, vol. 45(1), pages 221-229, March.
    9. Lederman, Daniel & Menendez, Ana Maria & Perry, Guillermo & Stiglitz, Joseph, 2003. "Mexican investment after the Tequila crisis: basic economics, "confidence" effects or market imperfections?," Journal of International Money and Finance, Elsevier, vol. 22(1), pages 131-151, February.
    10. Laura E. Kodres & Matthew Pritsker, 2002. "A Rational Expectations Model of Financial Contagion," Journal of Finance, American Finance Association, vol. 57(2), pages 769-799, April.
    11. Stoll, Hans R. & Whaley, Robert E., 1990. "The Dynamics of Stock Index and Stock Index Futures Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(4), pages 441-468, December.
    12. Gary Clyde Hufbauer & Jeffrey J. Schott, 2005. "NAFTA Revisited: Achievements and Challenges," Peterson Institute Press: All Books, Peterson Institute for International Economics, number 332, January.
    13. Ewing, Bradley T. & Payne, James E. & Sowell, Clifford, 1999. "NAFTA and North American stock market linkages: an empirical note," The North American Journal of Economics and Finance, Elsevier, vol. 10(2), pages 443-451.
    14. David M. Gould, 1996. "Distinguishing NAFTA from the peso crisis," Southwest Economy, Federal Reserve Bank of Dallas, issue Sep, pages 6-10.
    15. Chib, Siddhartha & Nardari, Federico & Shephard, Neil, 2002. "Markov chain Monte Carlo methods for stochastic volatility models," Journal of Econometrics, Elsevier, vol. 108(2), pages 281-316, June.
    16. Darrat, Ali F. & Zhong, Maosen, 2005. "Equity market linkage and multinational trade accords: The case of NAFTA," Journal of International Money and Finance, Elsevier, vol. 24(5), pages 793-817, September.
    17. Dong-Hyun Ahn & Jacob Boudoukh & Matthew Richardson & Robert F. Whitelaw, 2002. "Partial Adjustment or Stale Prices? Implications from Stock Index and Futures Return Autocorrelations," The Review of Financial Studies, Society for Financial Studies, vol. 15(2), pages 655-689, March.
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    Cited by:

    1. Rothonis, Stephanie & Tran, Duy & Wu, Eliza, 2016. "Does national culture affect the intensity of volatility linkages in international equity markets?," Research in International Business and Finance, Elsevier, vol. 36(C), pages 85-95.

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    More about this item

    Keywords

    North American Free Trade Agreement (NAFTA); Information and Volatility Linkages; Volatility Correlations; Markov Chain Monte Carlo; Equity Market Returns; C11; C32; F13;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F13 - International Economics - - Trade - - - Trade Policy; International Trade Organizations

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