Integration vs. segmentation in the Canadian stock market

Article Abstract:

An analysis of the question of integrating Canadian and North American equities markets shows that the U.S. and Canadian markets should not be consolidated. The segmentation model is favored after considering the Canadian and U.S. differences as to the capital assets pricing model and mean variance efficiency analyses of both markets. Moreover, integration of the equities markets is rejected by companies that are interlisted on both U.S. and Canadian markets, as well as by companies that list in only one country. Such rejection demonstrates that the segmentation model is also supported by legal constraints on the companies issuing stocks in both nations. A discussion of the research paper by James N. Bodurtha Jr. following its presentation notes that the research used a relatively small population sample and indicates possible extensions of the research that could be conducted.

Canada, Conferences, meetings and seminars, Stocks, International aspects, Stock-exchange, Stock exchanges, Securities, Investments, American Finance Association

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Testing the CAPM with time-varying risks and returns

Article Abstract:

This paper draws on Engle's autoregressive conditionally heteroskedastic modeling strategy to formulate a conditional CAPM with time-varying risk and expected returns. The model is estimated by generalized method of moments. A CAPM that allows mean excess returns to shift in January survives generalized method of moments specification tests for a number of omitted variables. However, a residual dividend yield component is found to remain in the excess returns of smaller firms. We find significant monthly and quarterly components in the risk premia and beta estimates. (Reprinted by permission of the publisher.)

Analysis, Usage, Prices and rates, Capital assets, Capital assets pricing model, Capital asset pricing model, Analysis of covariance, Covariance analysis

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Efficiency tests of the foreign currency options market

Article Abstract:

Foreign currency options are traded on four main markets: Philadelphia, Montreal, Vancouver, and Amsterdam. Using data from the Philadelphia Stock Exchange, this study examines the efficiency of these markets. The tests used draw from Merton and Gould and Galas models, which measure results by establishing a series of boundary conditions. This study established a set of eight boundaries to be satisfied by currency options in a full transaction. Results indicate that the market is efficient only when the test uses certain variables and is not efficient when other variables are taken into consideration.

Research, Economic aspects, Foreign exchange, Currency options, Capital market, Capital markets

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