English, Article, Journal or magazine article edition: Regime-switching behaviour in European Nektarios Aslanidis

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Bookmark: http://trove.nla.gov.au/version/76953
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Regime-switching behaviour in European
Author
  • Nektarios Aslanidis
Physical Description
  • preprint
Notes
  • This paper examines the empirical relationship between five European stock market indices and the US market in a smooth transition regression (STR) framework. Due to globalization of economies the motivation is that the New York market has exerted substantial influence on international markets in post-October 1987 period. The results show that the US market plays indeed an important role and determines stock market asymmetric behaviour in Europe, though non-linearity is not particularly strong.
  • smooth transition regression models, linearity tests, stock returns.
  • RePEc:crt:wpaper:0202
Language
  • English
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