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

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. / vii, 67 leaves ; 29 cm

Identiferoai:union.ndltd.org:LACETR/oai:collectionscanada.gc.ca:ALU.w.uleth.ca/dspace#10133/2605
Date January 2010
CreatorsSun, Yueming (Roy), University of Lethbridge. Faculty of Management
ContributorsLos, Cornelis A
PublisherLethbridge, Alta. : University of Lethbridge, Faculty of Management, 2010, Management
Source SetsLibrary and Archives Canada ETDs Repository / Centre d'archives des thèses électroniques de Bibliothèque et Archives Canada
Languageen_US
Detected LanguageEnglish
TypeThesis
RelationThesis (University of Lethbridge. Faculty of Management)

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