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
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)
References: Add references at CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
http://aimr.univath.ro/en/article/CO-MOVEMENTS-OF- ... CHING-MODEL~809.html (text/html)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ath:journl:v:36:y:2014:i:1:p:33-43
Access Statistics for this article
Internal Auditing and Risk Management is currently edited by Emilia Vasile
More articles in Internal Auditing and Risk Management from Athenaeum University of Bucharest Contact information at EDIRC.
Bibliographic data for series maintained by Cosmin Catalin Olteanu and Emilia Vasile (). This e-mail address is bad, please contact .