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A Euro area stock market model with betas dependent on the financial markets cycle

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  • José Soares Da Fonseca

Abstract

This paper estimates market models for the Euro area stock markets of France, Germany, Holland, Italy and Spain, with beta parameters dependent on the financial cycle phases. These models support the calculation of time-varying Treynor ratios, which compare the performance of these domestic markets across different phases of the financial cycle in the Euro area stock markets.

Suggested Citation

  • José Soares Da Fonseca, 2013. "A Euro area stock market model with betas dependent on the financial markets cycle," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 6(4), pages 302-308.
    • Handle: RePEc:ids:ijmefi:v:6:y:2013:i:4:p:302-308
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