Modelling long run comovements in equity markets: A flexible approach

Autor:	Martins, LF, Gabriel, VJ
Rok vydání:	2014
Předmět:	Economics and Econometrics Global integration Cointegration Markov chain Financial economics Economics Econometrics Equity (finance) Finance Stock (geology) Stock price
Zdroj:	Journal of Banking & Finance. 47:288-295
ISSN:	0378-4266
DOI:	10.1016/j.jbankfin.2014.05.029
Popis:	© 2014 Elsevier B.V. International equity markets linkages are characterized by nonlinear dependence and asymmetries. We investigate shifts in long run comovements in stock markets by means of an 'interrupted' Markov switching cointegration specification. This flexible approach allow us to study to what extent documented changes in global integration are permanent, or whether market linkages are subject to changes. Using an illustrative sample from 1980 to 2012 for USA, UK and Hong Kong stock price indices, we find evidence of interrupted cointegration across these markets between May 1997 and April 2002, which is consistent with the decoupling of stock prices from fundamentals during the dot-com bubble.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9790ccdf1a77e38f800f61030260a1ce https://doi.org/10.1016/j.jbankfin.2014.05.029 Zobrazit plný text záznamu Full Text from ScienceDirect