Interdependence of NAFTA Capital Markets: A Minimum Variance Portfolio Approach

Francisco López-Herrera (), Roberto Santillán-Salgado () and Edgar Ortiz ()

Panoeconomicus, 2014, vol. 61, issue 6, 691-707

Abstract: We estimate the long-run relationships among NAFTA capital market returns and then calculate the weights of a “time-varying minimum variance portfolio” that includes the Canadian, Mexican, and USA capital markets between March 2007 and March 2009, a period of intense turbulence in international markets. Our results suggest that the behavior of NAFTA market investors is not consistent with that of a theoretical “risk-averse” agent during periods of high uncertainty and may be either considered as irrational or attributed to a possible “home country bias”. This finding represents valuable information for portfolio managers and contributes to a better understanding of the nature of the markets in which they invest. It also has practical implications in the design of international portfolio investment policies. Key words: NAFTA, Stock markets, International diversification, Financial integration, Optimal portfolios.JEL: F36, F37, G01, G11, G15.

Keywords: NAFTA; Stock markets; International diversification; Financial integration; Optimal portfolios (search for similar items in EconPapers)
Date: 2014
References: Add references at CitEc
Citations:

Downloads: (external link)
https://panoeconomicus.org/index.php/jorunal/article/view/490/475 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:voj:journl:v:61:y:2014:i:6:p:691-707:id:490

Access Statistics for this article

Panoeconomicus is currently edited by Kosta Josifidis

More articles in Panoeconomicus from Savez ekonomista Vojvodine, Novi Sad, Serbia
Bibliographic data for series maintained by Savez ekonomista Vojvodine, Novi Sad, Serbia ().