Regime-switching behaviour in European
AbstractThis 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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Bibliographic InfoPaper provided by University of Crete, Department of Economics in its series Working Papers with number 0202.
Length: 41 pages
Date of creation: 00 Sep 2002
Date of revision:
smooth transition regression models; linearity tests; stock returns.;
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