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

José Soares Da Fonseca

International Journal of Monetary Economics and Finance, 2013, vol. 6, issue 4, 302-308

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.

Keywords: Euro zone; stock market models; financial markets; financial cycles; time-varying beta parameters; Treynor ratios; modelling; France; Germany; Holland; Italy; Spain; stock markets. (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:ids:ijmefi:v:6:y:2013:i:4:p:302-308

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