QUANTITATIVE ANALYSIS OF THE PRICE DISCOVERY IN THE NAFTA STOCK MARKETS
Bibliographic record
Abstract
In this study I extend the work of Chukwuogor-Ndu and Kasibhatla (2007) who document that the US, Canada and Mexico markets are cointegrated as a result of the North America Free Trade Agreement. I examine the question: what is the proportional contribution to the price discovery of these indexes based on their cointegration. In the international finance literature it is widely assumed that the US market provides the leadership. I find that the US is not always the dominant market in the price discovery when I examine five iShares Exchange Traded Funds which are simultaneously listed in Canada, Mexico and the United States. The ETFs that I use in this study are the iShares MSCI Brazil Index Fund, the iShares MSCI EAFE Index Fund, the iShares MSCI Emerging Markets Index Fund, the iShares COMEX Gold Trust and the iShares S&P 500 Index Fund. The US market is dominant only in the price formation of the Brazil and Gold ETFs whereas the leader in the price formation of the rest of the ETFs is the Canadian market.
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.002 | 0.019 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.006 | 0.004 |
| Science and technology studies | 0.000 | 0.001 |
| Scholarly communication | 0.002 | 0.003 |
| Open science | 0.000 | 0.000 |
| Research integrity | 0.001 | 0.001 |
| Insufficient payload (model declined to judge) | 0.003 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".