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Regime switching in stock index and futures markets: a note on the NIKKEI evidence

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Author Info
Angelos Kanas

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Abstract

Using a time-varying regime-switching vector error correction approach, we find strong evidence that the NIKKEI stock index cash and futures prices are jointly characterized by regime switching, which is time-varying and dependent upon the basis, the interest rate, the volatility of the cash index, and the US futures market. Copyright © 2009 John Wiley & Sons, Ltd.

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File URL: http://hdl.handle.net/10.1002/ijfe.390
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Publisher Info
Article provided by John Wiley & Sons, Ltd. in its journal International Journal of Finance & Economics.

Volume (Year): 14 (2009)
Issue (Month): 4 ()
Pages: 394-399
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Handle: RePEc:ijf:ijfiec:v:14:y:2009:i:4:p:394-399

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  1. Vicente Meneu & Hipolit Torro, . "Asymmetric covariance in sport-future markets," Studies on the Spanish Economy 135, FEDEA. [Downloadable!]
  2. French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March. [Downloadable!] (restricted)
  3. Jian Yang & David A. Bessler, 2004. "The International Price Transmission in Stock Index Futures Markets," Economic Inquiry, Oxford University Press, vol. 42(3), pages 370-386, July. [Downloadable!] (restricted)
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