This paper examines the impact of multinational trade accords on the degree of stock market linkage using NAFTA as a case study. Besides liberalizing trade among the U.S., Canada and Mexico, NAFTA has also sought to strengthen linkage among stock markets of these countries. If successful, this...

The study of the day-of-the-week-effect for A shares and B shares traded on Shanghai and Shenzhen stock exchanges show that average monday returns from A shae indexes are significantly negative during the third and fourth weeks. However, average tusday returns on most A and B share indexes are...

Adopting a MS-VAR model (Krolzig, 1997) and a recently developed regime-dependent impulse response analysis technique (Ehrmann, et al., 2003), this paper investigates the dynamic relationships among the stock markets of the US, Australia and New Zealand. Our results reveal the existence of two...