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The USMCA: A Bad Deal for Most


The USMCA: A Bad Deal for Most

Bajaj, Aman (2023) The USMCA: A Bad Deal for Most. Masters thesis, Concordia University.

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This study investigates the impact of the USMCA on the stock market returns of the U.S., Canada, and Mexico. We also analyze the impact of USMCA on volatility spillover across the markets. Our research design consists of two parts. First, we examine the market and sectorial indices returns using an Event study methodology. Second, we use the BEKK-GARCH model to study the spillover between the three markets. The event study results show that most sectors across the three countries had a negative abnormal return with Canada suffering a relatively bigger loss. The multivariate GARCH results show that the U.S. market historically has the most influential impact on the volatilities of the Canadian and Mexican markets. We also find that USMCA had a negative impact on the mean returns of the Canadian and Mexican stock markets. Besides, we find no significant evidence of change in volatility spillover post-USMCA. Overall, our analysis shows that the USMCA was a bad deal for most.

Divisions:Concordia University > John Molson School of Business > Finance
Item Type:Thesis (Masters)
Authors:Bajaj, Aman
Institution:Concordia University
Degree Name:M. Sc.
Program:Administration (Finance option)
Date:9 February 2023
Thesis Supervisor(s):Switzer, Lorne N.
ID Code:991799
Deposited By: Aman Bajaj
Deposited On:21 Jun 2023 14:45
Last Modified:21 Jun 2023 14:45
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