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Regime-switching behaviour in European

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Author Info
Nektarios Aslanidis (Department of Economics, University of Crete, Greece)
Abstract

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.

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File URL: http://economics.soc.uoc.gr/wpa/docs/Aslanidis_2002b.pdf
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Publisher Info
Paper provided by University of Crete, Department of Economics in its series Working Papers with number 0202.

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Length: 41 pages
Date of creation: 00 Sep 2002
Date of revision:
Handle: RePEc:crt:wpaper:0202

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Related research
Keywords: smooth transition regression models; linearity tests; stock returns.;

References listed on IDEAS
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  1. Tobias Rydén & Timo Teräsvirta & Stefan Åsbrink, 1998. "Stylized facts of daily return series and the hidden Markov model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(3), pages 217-244. [Downloadable!]
    Other versions:
  2. Michael, Panos & Nobay, A Robert & Peel, David A, 1997. "Transactions Costs and Nonlinear Adjustment in Real Exchange Rates: An Empirical Investigation," Journal of Political Economy, University of Chicago Press, vol. 105(4), pages 862-79, August.
  3. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March. [Downloadable!] (restricted)
  4. Eitrheim, Oyvind & Terasvirta, Timo, 1996. "Testing the adequacy of smooth transition autoregressive models," Journal of Econometrics, Elsevier, vol. 74(1), pages 59-75, September. [Downloadable!] (restricted)
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  5. Scheinkman, Jose A & LeBaron, Blake, 1989. "Nonlinear Dynamics and Stock Returns," Journal of Business, University of Chicago Press, vol. 62(3), pages 311-37, July. [Downloadable!] (restricted)
  6. Terasvirta, T & Anderson, H M, 1992. "Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages S119-36, Suppl. De. [Downloadable!] (restricted)
  7. Taylor, Mark P. & Peel, David A., 2000. "Nonlinear adjustment, long-run equilibrium and exchange rate fundamentals," Journal of International Money and Finance, Elsevier, vol. 19(1), pages 33-53, February. [Downloadable!] (restricted)
  8. Godfrey, Leslie G, 1978. "Testing for Higher Order Serial Correlation in Regression Equations When the Regressors Include Lagged Dependent Variables," Econometrica, Econometric Society, vol. 46(6), pages 1303-10, November. [Downloadable!] (restricted)
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