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CO-MOVEMENTS OF EUROPEAN STOCK MARKETS USING THE UNIVARIATE MARKOV REGIME SWITCHING MODEL.

Authors :
LUPU, Radu
CALIN, Adrian Cantemir
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]

Details

Language :
English
ISSN :
20658168
Volume :
9
Issue :
4
Database :
Complementary Index
Journal :
Internal Auditing & Risk Management
Publication Type :
Academic Journal
Accession number :
100190039