Financial integration of NAFTA : measurement and analysis of the North American financial markets convergence / Yueming (Roy) Sun

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dc.contributor.authorSun, Yueming (Roy)
dc.contributor.authorUniversity of Lethbridge. Faculty of Management
dc.contributor.supervisorLos, Cornelis A.
dc.date.accessioned2012-02-10T22:59:59Z
dc.date.available2012-02-10T22:59:59Z
dc.date.issued2010
dc.degree.levelMasters
dc.descriptionvii, 67 leaves ; 29 cmen_US
dc.description.abstractApplying market arbitrage theory on daily data, we measure the empirical financial market convergence of NAFTA’s financial markets since 1994. Radar diagram and wavelet multi-resolution analysis (MRA) scalogram movies of the statistical moments of the term interest rate differentials visualize the multidimensional convergence. From the radar movies, we find: 1) a uniform disappearance of the average forward premia; 2) a non-uniform decline of bilateral financial market risk; 3) variation of bilateral financial market pressure measured by skewness; and 4) emergence of uniform market microstructures as measured by vanishing excess-kurtosis. From the MRA movies, we find that the national term structures of interest rates converge, since the stochastic resonance coefficients of the interest rate differentials lose significance: market energy at all frequencies dissipates into “white noise.” Testing Obrimah, Prakash and Rangan’s (2009) Lemma, we find that, after 2002, higher financial flow pressure is a necessary condition for lower financial market risk.en_US
dc.identifier.urihttps://hdl.handle.net/10133/2605
dc.language.isoen_USen_US
dc.publisherLethbridge, Alta. : University of Lethbridge, Faculty of Management, 2010en_US
dc.publisher.facultyManagementen_US
dc.relation.ispartofseriesThesis (University of Lethbridge. Faculty of Management)en_US
dc.subjectCanada. Treaties, etc. 1992 Oct. 7en_US
dc.subjectFree trade -- North Americaen_US
dc.subjectNorth America -- Economic integrationen_US
dc.subjectDissertations, Academicen_US
dc.titleFinancial integration of NAFTA : measurement and analysis of the North American financial markets convergence / Yueming (Roy) Sunen_US
dc.typeThesisen_US
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