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

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dc.contributor.advisor Los, Cornelis A
dc.contributor.author Sun, Yueming (Roy)
dc.contributor.author University of Lethbridge. Faculty of Management
dc.date.accessioned 2012-02-10T22:59:59Z
dc.date.available 2012-02-10T22:59:59Z
dc.date.issued 2010
dc.identifier.uri http://hdl.handle.net/10133/2605
dc.description vii, 67 leaves ; 29 cm en_US
dc.description.abstract Applying 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.language.iso en_US en_US
dc.publisher Lethbridge, Alta. : University of Lethbridge, Faculty of Management, 2010 en_US
dc.relation.ispartofseries Thesis (University of Lethbridge. Faculty of Management) en_US
dc.subject Canada. Treaties, etc. 1992 Oct. 7 en_US
dc.subject Free trade -- North America en_US
dc.subject North America -- Economic integration en_US
dc.subject Dissertations, Academic en_US
dc.title Financial integration of NAFTA : measurement and analysis of the North American financial markets convergence / Yueming (Roy) Sun en_US
dc.type Thesis en_US
dc.publisher.faculty Management en_US

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