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Co-Movements Of European Stock Markets Using The Univariate Markov Regime Switching Model

Author

Listed:
  • Radu LUPU

    (Institute for Economic Forecasting, Romania)

  • Adrian Cantemir CALIN

    (Institute for Economic Forecasting, Romania)

Abstract

The connections among the European stock market indices are considered as an important element in the study of the integration of these markets. Our paper suggests the analysis of these connections by means of analyzing the simultaneity of regime shifts in the dynamics of a set of Western and Eastern European equity market indices. We measure this simultaneity phenomenon and we present evidence in support for its future consideration as a step in the study of stock market integration in Europe.

Suggested Citation

  • Radu LUPU & Adrian Cantemir CALIN, 2014. "Co-Movements Of European Stock Markets Using The Univariate Markov Regime Switching Model," Internal Auditing and Risk Management, Athenaeum University of Bucharest, vol. 36(1), pages 33-43, December.
    • Handle: RePEc:ath:journl:v:36:y:2014:i:1:p:33-43
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    Cited by:

    1. Gheorghe HURDUZEU & Radu Cristian MUSETESCU & Georgeta Madalina MEGHISAN, 2015. "Financial Market Reaction To Changes In The Volatilities Of Cds Returns," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 152-165, September.

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