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

Radu Lupu () and Adrian Cantemir Calin

Internal Auditing and Risk Management, 2014, vol. 36, issue 1, 33-43

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.

Keywords: co-movements; Markov regime switching; European stock markets; stock market integration (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:ath:journl:v:36:y:2014:i:1:p:33-43

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