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Regime switching in stock index and futures markets: a note on the NIKKEI evidence

Angelos Kanas

International Journal of Finance & Economics, 2009, vol. 14, issue 4, 394-399

Abstract: Using a time-varying regime-switching vector error correction approach, we find strong evidence that the NIKKEI stock index cash and futures prices are jointly characterized by regime switching, which is time-varying and dependent upon the basis, the interest rate, the volatility of the cash index, and the US futures market. Copyright © 2009 John Wiley & Sons, Ltd.

Date: 2009
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Handle: RePEc:ijf:ijfiec:v:14:y:2009:i:4:p:394-399