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CO-MOVEMENTS OF EUROPEAN STOCK MARKETS USING THE UNIVARIATE MARKOV REGIME SWITCHING MODEL.
- Source :
- Internal Auditing & Risk Management; dec2014, Vol. 9 Issue 4, p33-43, 11p
- Publication Year :
- 2014
-
Abstract
- The connections among the European stock market indices are considered as an important element in the study of the integration of these markets. Our paper suggests the analysis of these connections by means of analyzing the simultaneity of regime shifts in the dynamics of a set of Western and Eastern European equity market indices. We measure this simultaneity phenomenon and we present evidence in support for its future consideration as a step in the study of stock market integration in Europe. [ABSTRACT FROM AUTHOR]
- Subjects :
- STOCK exchanges
STOCK price indexes
STOCK prices
MARKOV processes
GLOBALIZATION
Subjects
Details
- Language :
- English
- ISSN :
- 20658168
- Volume :
- 9
- Issue :
- 4
- Database :
- Complementary Index
- Journal :
- Internal Auditing & Risk Management
- Publication Type :
- Academic Journal
- Accession number :
- 100190039