Equity market linkage and multinational trade accords: The case of NAFTA

This paper examines the impact of multinational trade accords on the degree of stock market linkage using NAFTA as a case study. Besides liberalizing trade among the U.S., Canada and Mexico, NAFTA has also sought to strengthen linkage among stock markets of these countries. If successful, this could lessen the appeal of asset diversification across the North American region and promote a higher degree of market efficiency. We assess the possible impact of NAFTA on market linkage using cross-correlations, multivariate price cointegrating systems, speed of convergence, and generalized variance decompositions of unexpected stock returns. The evidence proves robust and consistently indicates intensified equity market linkage since the NAFTA accord. The results also suggest that interdependent goods markets in the region are a primary reason behind the stronger equity market linkage observed in the post-NAFTA period. (c) 2005 Elsevier Ltd. All rights reserved.

Drinfeld twists and algebraic bethe ansatz of the supersymmetric model associated with U-q(gl(m vertical bar n))

We construct the Drinfeld twists (or factorizing F-matrices) of the supersymmetric model associated with quantum superalgebra U-q(gl(m vertical bar n)), and obtain the completely symmetric representations of the creation operators of the model in the F-basis provided by the F-matrix. As an application of our general results, we present the explicit expressions of the Bethe vectors in the F-basis for the U-q(gl(2 vertical bar 1))-model (the quantum t-J model).