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Explaining movements in UK stock prices:

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Author Info
Nektarios Aslanidis (Department of Economics, University of Crete, Greece)
Denise Osborn () (Centre for Growth and Business Cycle Research, University of Manchester, UK)
Marianne Sensier (Centre for Growth and Business Cycles Research, University of Manchester, UK)

Additional information is available for the following registered author(s):

Abstract

This paper provides evidence on the causes of movements in monthly UK stock prices, examining the role of macroeconomic and financial variables in a nonlinear framework. We allow for time-varying effects through the use of smooth transition models. We find that past changes in the dividend yield are an important transition variable, with current US stock market price changes providing a second nonlinear influence. This model explains the declines in the UK market since 2000, whereas a competing model excluding current US prices does not. The conclusion is that the principal explanation of recent declines in the UK lies in the nonlinear influence of declines in the US, and not the domestic economic environment.

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File URL: http://economics.soc.uoc.gr/wpa/docs/dpcgbcr27.pdf
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Publisher Info
Paper provided by University of Crete, Department of Economics in its series Working Papers with number 0302.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 42 pages
Date of creation: 00 Jan 2003
Date of revision:
Handle: RePEc:crt:wpaper:0302

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Related research
Keywords: Regime-switching models; smooth transition autoregressive models; linearity tests; model evaluation;

Find related papers by JEL classification:
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions

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