English, Article, Journal or magazine article edition: Has the Structural Break Slowed Down Growth Rates of Stock Markets? Paresh Kumar Narayan

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Bookmark: http://trove.nla.gov.au/version/107251
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Has the Structural Break Slowed Down Growth Rates of Stock Markets?
Author
  • Paresh Kumar Narayan
Physical Description
  • preprint
Notes
  • In this paper, we use the common structural break test suggested by Bai et al. (1998) to test for a common structural break in the stock prices of the US, the UK, and Japan. On the basis of the structural break, we divide each countries stock price series into sub-samples and investigate whether or not the structural break had slowed down the growth of stock markets. Our main findings are that when stock markets are modeled in a trivariate sense the common structural break turns out to be 1990:02, with the confidence interval including several episodes, such as the asset price bubble when housing prices and stock prices in Japan reached a peak in 1988/​1989, the early 1990s recession in the UK, the business cycle peak of July 1990, the August 1990 Iraqi invasion of Kuwait and the March 1991 business cycle trough. Annual average growth rates suggest that the structural break has slowed down the growth rate of the UK and Japanese stock markets, while it has boosted the growth of the US stock market.
  • Common Structural Break Test, Stock Markets
  • RePEc:dkn:econwp:eco_2009_07
Language
  • English
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