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Regime-switching behaviour in European

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  • 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.

Suggested Citation

  • Nektarios Aslanidis, 2002. "Regime-switching behaviour in European," Working Papers 0202, University of Crete, Department of Economics.
    • Handle: RePEc:crt:wpaper:0202
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    References listed on IDEAS

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