Persistence, non-linearities and structural breaks in European stock market indices

Guglielmo Maria Caporale, Luis Gil-Alana and Carlos Poza

No 7667, CESifo Working Paper Series from CESifo

Abstract: This paper examines persistence, structural breaks and non-linearities in the case of five European stock market indices, namely the FTSE100 (UK), DAX30 (Germany), CAC40 (France), IBEX35 (Spain) and FTSE MIB40 (Italy), using fractional integration methods. The empirical results provide no evidence of non-linearities in either prices or returns; the former are found to exhibit unit roots and the latter to be I(0) in most cases. Further, between 2 and 4 structural breaks are found for each of the return series, and mean reversion in some subsamples.

Keywords: European stock markets; nonstationarity; unit roots; fractional integration; persistence; non-linearities (search for similar items in EconPapers)
JEL-codes: C22 C58 (search for similar items in EconPapers)
Date: 2019
New Economics Papers: this item is included in nep-agr, nep-fmk and nep-ore
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Journal Article: Persistence, non-linearities and structural breaks in European stock market indices (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_7667

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