Regime-switching behaviour in European

Nektarios Aslanidis
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Nektarios Aslanidis: Department of Economics, University of Crete, Greece

No 202, Working Papers from University of Crete, Department of Economics

Abstract: This paper examines the empirical relationship between five European stock market indices and the US market in a smooth transition regression (STR) framework. Due to globalization of economies the motivation is that the New York market has exerted substantial influence on international markets in post-October 1987 period. The results show that the US market plays indeed an important role and determines stock market asymmetric behaviour in Europe, though non-linearity is not particularly strong.

Keywords: smooth transition regression models; linearity tests; stock returns. (search for similar items in EconPapers)
Pages: 41 pages
Date: 2002-09
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