本文的主要目的是分析美國股票市場對加拿大股票市場的影響，在實證資料上則應用美國那斯達克股價指數以及多倫多股價指數。
在實證研究上，本文應用的時間序列分析方法包括ADF，PP單根檢定、以及Johansen共積檢定、Granger Causality 因果關係檢定，最後並應用Copula相關檢定。
實證結果發現，(1).單根檢定：發現無論次級房貸前、期間均有單根現象，但取一階差分後就呈現穩定 (2). Johansen 共積檢定結果：發現二個市場指數在次級房貸前，期間均有共積現象，在次級房貸期間尤其明顯。(3)因果關係檢定：結果亦發現二市場具有因果關係 (4).最後透過copula-AR-GARCH檢定，發現二市場均有相關，但次級房貸期間，這現象更加明顯，意謂危機期間的影響效果變大。
所以，由本文的實證結果可以證明那斯達克股價指數對多倫多股價指數有顯著的影響，尤其在次級房貸發生期間更加顯著 。

The main purpose of this thesis is to analyze the influence, and, if possible, the degree of this influence, of the American stock market on the Canadian stock market. In consequence, the NASDAQ’s stock exchange and the Toronto stock index data were used.
To carry out this study, econometrical methods and tests were used. The tests thought to be the best fitted ones for this subject were the ADF, PP Unit Root test, the Johansen co-integration test, the Granger Causality test and, finally, the Copula correlation test.
First, the unit root test showed that, for both sub-samples, the data has unit root but when taking its first difference the data has no longer unit root and becomes stationary. Concerning the Johansen test, again, in both sub-samples, it was found that there is a co-integration between NASDAQ stock exchange and Toronto stock index. This result was verified when the Granger Causality was executed. Finally, the copula correlation test also showed that, after the U.S. subprime mortgage crisis, the correlation between the two stock markets was more important .This means that the co-movement was larger after the crisis hit the American economy.
Finally, we can conclude that the NASDAQ stock exchange has always had an influence over the Toronto stock index. Nevertheless, this influence became more apparent and gained strength after the U.S. subprime mortgage crisis hit the American economy.

Contents
Contents……………………………………………………………I
Figure contents………………………………………………………………III
Table contents……………………………………………………………IV
Chapter1: Motivation and Introduction………..…………………………..…....1
1.	Objectives………………………………………………………………...5
2.	Contribution to the literature…………………………………………......6
3.	Thesis overview…………………………………………………………..7
Chapter 2: Theories and literature………………………………………….…...8
1.	Relationship between the United States and Canada……………….…....8
•	Differences between the two countries………………………….........8
•	Trade relationship....……………………………………………….....9
•	Investment relationship……………………………………………...10
•	Trade relationship security…………………………………………..10
2.	The U.S. subprime mortgage crisis……………………………………..12
3.	Literature review………………………………………………………...16
4.	Summary of Chapter 2…………………………………………………..23
Chapter 3: Methodologies……………………………………………………...28
1.	The Unit Root test…………………………………………………….....28
•	The Augmented Dickey-Fuller (ADF) test………………………….28
•	The Phillips and Perron (PP) test…………………………………....29
2.	Co-integration Test……………………………………………………...29
•	The Engle Granger 2 step method…………………………………...30
•	Johansen co-integration test…………………………………………30
3.	Granger causality test………………………………………..……….....32
4.	Copula Function………………………………………………………...32
Chapter 4: Empirical design and analysis’ results……………………………..34
1.	Data description…………………………………………………………34
2.	Summary statistics………………………………………………………34
3.	Unit Root test…………………………………………………………....38
4.	Johansen co-integration test……………………………………………..45
5.	Granger causality test…………………………………………………...48
6.	Copula correlation test………………………………………………......49
Chapter 5: Conclusion and Suggestions….……………………………………53
1.	Conclusion……………………………………………………………....53
2.	Suggestions……………………………………………………………...54
References……………………………………………………………………...55
 
Figure Contents
Figure 1: Provinces and territories of Canada and Canadian federalism..…........2
Figure 2: The fifty states of the United States of America……………...………4
Figure 3: The Domino effect…………………………………………………..14
Figure 4: Frequency of NASDAQ and Toronto stock index………..................36
Figure 5: NASDAQ and Toronto stock index Time Series (January 3rd 2006 to October 30th 2007)………………………………………………….36
Figure 6: ACF and PACF of NASDAQ’s first sub-sample…………………....38
Figure 7: ACF and PACF of Toronto’s first sub-sample………………………40
Figure 8: ACF and PACF of NASDAQ’s second sub-sample………………...42
Figure 9: ACF and PACF of Toronto’s second sub-sample…………………...43
Figure 10: DCC Normal copula for the full sample…………………………...52
Figure 11: First sub-sample scatter plot………………………………………..52
Figure 12: Second sub-sample scatter plot………………………………….....52
 
Table Contents
Table 1: International rankings………………………………………...….........3
Table 2: Literature review summary……………………………………….24-26
Table 3: Summary statistics for NASDAQ and Toronto stock index (full sample)………………………………………………………….......35
Table 4:  Results of Chow test………………….……………………………...37
Table 5: NASDAQ stock exchange first sub-sample (January 3rd 2006 –   October 31st 2007)………………………………………………….39
Table 6: NASDAQ stock exchange first sub-sample (January 3rd 2006 – October 31st 2007)……………………………………………………………39
Table 7: Toronto’s stock index first sub-sample (January 3rd 2006 – October 31st 2007)…………………………………………………………………40
Table 8: Toronto’s stock index first sub-sample (January 3rd 2006 – October 31st 2007)…………………………………………………………………41
Table 9: NASDAQ stock exchange second sub-sample (November 1st 2007 – October 30th 2009)…………………………………………………...42
Table 10: NASDAQ stock exchange second sub-sample (November 1st 2007 – October 30th 2009)…………………………………………………..43
Table 11: Toronto’s stock index first sub-sample (November 1st 2007 – October 30th 2009)…………………………………………………………..44
Table 12: Toronto’s stock index first sub-sample (November 1st 2007 – October 30th 2009)…………………………………………………………..44
Table 13: LR test with Sims correction for co-integration test (January 3rd 2006 – October 31st 2007)…………………………………………..45
Table 14: LR test with Sims correction for co-integration test (November 1st 2007 – October 30th 2009)……………………………...……...........46
Table 15: Johansen co-integration test for NASDAQ and Toronto’s stock index first sub-sample (January 3rd 2006 – October 31st 2007) (lag=3)……………………………………………………………..47
Table 16: Johansen co-integration test for NASDAQ and Toronto’s stock index second sub-sample (November 1st 2007 – October 30th 2009) (lag=5)……………………………………………………………...47
Table 17: Granger causality test for NASDAQ and Toronto’s stock index first sub-sample (January 3rd 2006 – October 31st 2007)(lag=3)………...48
Table 18: Granger causality test for NASDAQ and Toronto’s stock index second sub-sample (November 1st 2007 – October 30th 2009)(lag=5)………………………………………………...……..48
Table 19: Results of the AR-GARCH (1,1) model…...................................50-51
Table 20: Kendall’s tau of Copula functions………………………………51

1. Arakelian, V. and P. Dellaportas (2005), “Contagion Tests via Copula Threshold Models”, Department of Economics, University of Crete, Greece
2. Arestis, P., G. M. Caporale, A. C. and N. Spagnolo (2005), “Testing for Financial Contagion Between Developed and Emerging Markets Dring the 1997 East Asian Crisis”, International Journal of Finance and Economics, Vol. 10, pp. 359-367
3. Basse, T., M. Friedrich and E. V. Bea (2009), “REITs and the Financial Crisis: Empirical Evidence from the U.S.”, International Journal of Business and Management, Vol. 4
4. Choudhry, T. and L. Lu and K. Peng (2007), “Common stochastic trends among Far East stock prices: Effects of the Asian financial crisis”, International Review of Financial Analysis, Vol. 16, Issue 3, pp. 242-261
5. Click, R. W. and M. G. Plummer (2005), “Stock market integration in ASEAN after the Asian financial crisis”, Journal of Asian Economics, Vol. 16, Issue 1, pp. 5-28
6. Dungey, M., Fry, R. and V. L. Martin (2006), “Correlation, Contagion, and Asian Evidence”, Cambridge Endowment for Research in Finance, University of Cambridge
7. Fergusson, J. F. (2008), “United States – Canada trade and economic relationship: Prospects and Challenges”, CRS Report for Congress
8. Genest, C. , K. Ghoudi,and L. P. Rivest(1995), “A Semiparameteric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions, Biometrika, Vol.82, pp.543-552.
71
9. Giorgio, C., S. M. Miller and S. K. Pollard (2008), “Dynamic Stock Market Interactions between the Canadian, Mexican and the United States Markets: the NAFTA Experience”, Working paper
10. Granger, R. F.(1969), “Investigating Causal Relations by Econometric Models and Cross-Spectral Methods”, Econometrica ,Vol. 37, pp. 24-36
11. Kumar, P. (2008), “Is Indian Stock Market Related with Exchange Rate and Inflation? An Empirical Test Using Time Series”, ICFAI Business School
12. Lee, Y. T. (2009), “The impulse, causation and contagion of the subprime mortgage crisis for returns of bond index in U.S, EMU, United Kingdom, Australia and Japan(in-Chinese)” Grad-Finance, MCU ,TAIWAN
13. Manner, H. and O. Reznikova (2009), “Time-varying Copulas: a Survey”, Universite catholique de Louvain, Institut de statistique
14. Pai, S. Y. (2009), “Analysis of the Impact of Subprime Mortgage even around the Major Stock Markets” (in-Chinese), Graduate Institute of International Trade, Feng Chia Unversity, Taiwan.
15. Rigobon, R. (2003),“On the Measurement of the International Propagation of Shocks: is the Transmission Stable?”, Journal of International Economics, Vol. 61, pp. 261-283
16. Rodriguez, J. C. (2003), “Measuring Financial Contagion: A Copula Approach”, Journal of Empirical Finance, Vol.14, No.3, pp.401-423.
17. Sheng, H. C. Sheng and A. H. Tu (2000), “A Study of Co-integration and Variance Decomposition among National Equity Indices Before and During the Period of the Asian Financial Crisis,” Journal of Multinational Financial Management, Vol. 10, Issues 3-4, pp. 345-365
18. Sims, C. A. (1972), “Money, Income and Causality”, American Economic Review, Vol. 62, pp. 45-552
72
19. Sklar, A.(1959), “ Fonctions de Repartition a n Dimensions et leurs Marges. Publications de l,”Institution de Statistique de L’Universite de Paris, Vol.8, pp.229-231.
20. Wang, K. M. and Thanh-Binh Nguyen Thi (2006), “Does Contagion Effect Exist Between Stock Markets of Thailand and Chinese Economic Area (CEA) During the “Asian Flu?”, Asian Journal of Management and Humanity Sciences, Vol. 1, No. 1, pp. 16-36
21. http://en.wikipedia.org/wiki/Canada
22. http://en.wikipedia.org/wiki/United_States
23. http://en.wikipedia.org/wiki/Subprime_mortgage_crisis
24. http://www.four-pillars.ca/2008/01/31/why-sub-prime-crisis-has-not-affected-canada-yet
25. http://finance.yahoo.com/