Analysis of The Financial Indices of The NAFTA Member Countries

Authors

Rafiqul Bhuyan, California State UniversityFollow
Andrija Popovic, Department of Social Development
Yoshi Fukasawa, Midwestern State University

Abstract

This paper analyzes the efficient markets hypothesis for the major NAFTA financial indices. The results suggest that the simple return for all three indices is generally uncorrelated. The non-linear transformations of the simple return info its absolute and squared value behaved much differently however. Here, the statistics calculated provided considerable evidence to suggest that these transformations of the returns are predictable to a large degree. Ignoring the sign of the return helps greatly in predicting the direction of the series. Also, all of the series in this transformation, but one, had estimated fractional parameters that would indicate the presence of long memory. Thus, it could be concluded that volatility is a long run predictable process.

Volume

2

Issue

1

First Page

9

Last Page

19

DOI

10.58809/DPTI1635

Comments

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Rights

© Fort Hays State University

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.

Recommended Citation

Bhuyan, Rafiqul; Popovic, Andrija; and Fukasawa, Yoshi (2006) "Analysis of The Financial Indices of The NAFTA Member Countries," Journal of Business & Leadership: Research, Practice, and Teaching (2005-2012): Vol. 2: No. 1, Article 3.
DOI: 10.58809/DPTI1635
Available at: https://scholars.fhsu.edu/jbl/vol2/iss1/3