Persistence, non-linearities and structural breaks in European stock market indices
This paper examines persistence, structural breaks and non-linearities in the case of five European stock market indices, namely the FTSE100 (UK), DAX30 (Germany), CAC40 (France), IBEX35 (Spain) and FTSE MIB40 (Italy), using fractional integration methods. The empirical results provide no evidence o...
| Autores: | , , |
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| Formato: | artículo |
| Fecha de publicación: | 2020 |
| País: | España |
| Recursos: | Universidad de Navarra |
| Repositorio: | Dadun. Depósito Académico Digital de la Universidad de Navarra |
| Idioma: | inglés |
| OAI Identifier: | oai:dadun.unav.edu:10171/67658 |
| Acesso em linha: | https://hdl.handle.net/10171/67658 |
| Access Level: | acceso abierto |
| Palavra-chave: | European stock markets Nonstationarity Unit roots Fractional integration Persistence Non-linearities |
| Resumo: | This paper examines persistence, structural breaks and non-linearities in the case of five European stock market indices, namely the FTSE100 (UK), DAX30 (Germany), CAC40 (France), IBEX35 (Spain) and FTSE MIB40 (Italy), using fractional integration methods. The empirical results provide no evidence of nonlinearities in either prices or returns; the former are found to exhibit unit roots and the latter to be I(0) in most cases. Further, between 2 and 4 structural breaks are found for each of the return series, and mean reversion in some subsamples. |
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