Has the structural break slowed down growth rates of stock markets?
AbstractIn 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 country's 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 modelled 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 US, the UK and Japanese stock markets.
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Bibliographic InfoArticle provided by Elsevier in its journal Economic Modelling.
Volume (Year): 30 (2013)
Issue (Month): C ()
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Common structural break test; Stock markets;
Other versions of this item:
- Paresh Kumar Narayan & Seema Narayan, 2011. "Has the structural break slowed down growth rates of stock markets?," Financial Econometics Series, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance 2011_10, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
- Paresh Kumar Narayan, 2009. "Has the Structural Break Slowed Down Growth Rates of Stock Markets?," Economics Series 2009_07, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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