Theses and Dissertations

Date of Award


Document Type


Degree Name

Doctor of Philosophy (PhD)



First Advisor

Dr. Diego Escobari

Second Advisor

Dr. Binay Adhikari

Third Advisor

Dr. Maroula Khraiche


The globalization of securities in recent years has led to an increase in market linkages. These linkages are strong among countries that have entered into bilateral and multilateral trade agreements. I investigate the linkages of stock markets in NAFTA countries by exploring their cointegrating relationship, and I explore market linkages in Latin America by showing evidence of financial contagion between Brazil and her Latin American neighbors.

In the first essay, I employ a vector error correction model to examine the linkages between price stock indexes of NAFTA countries that have been segregated into tiers based on market capitalization. In each set of NAFTA countries (US–MEX; US–CAN; MEX–CAN), the returns of the tiered indexes reflect a long-run relationship within the same tier. Using a rolling vector error correction approach, I find a shift in the long run equilibrium during the most recent global financial crisis. The cointegrating parameter that ties the tiers together is greater in the absolute during the crisis period compared to the pre- and post-crisis periods. Despite showing that the stock indexes of the three NAFTA countries exhibit a cointegrating relationship, tests do not confirm that the relationship is the result of the NAFTA accord.

In the second essay, I investigate market linkages by exploring the possibility of financial contagion from Brazil to five Latin American countries following the presidential election of Dilma Rousseff in 2014. I employ a GARCH-DCC framework to estimate the variance-covariance transmission mechanism. By means of both the Kolmogorov-Smirnov test and a Markov Switching Dynamic Regression (MSDR), I find an increase in conditional correlations between Brazil and five Latin American countries, suggesting a shift in the long run relationship and the evidence of financial contagion.


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