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Modelling long run comovements in equity markets: A flexible approach

Martins, LF, Gabriel, VJ and Gabriel, VJ (2014) Modelling long run comovements in equity markets: A flexible approach Journal of Banking and Finance, 47. pp. 288-295.

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Abstract

© 2014 Elsevier B.V. International equity markets linkages are characterized by nonlinear dependence and asymmetries. We investigate shifts in long run comovements in stock markets by means of an 'interrupted' Markov switching cointegration specification. This flexible approach allow us to study to what extent documented changes in global integration are permanent, or whether market linkages are subject to changes. Using an illustrative sample from 1980 to 2012 for USA, UK and Hong Kong stock price indices, we find evidence of interrupted cointegration across these markets between May 1997 and April 2002, which is consistent with the decoupling of stock prices from fundamentals during the dot-com bubble.

Item Type: Article
Divisions : Faculty of Arts and Social Sciences > School of Economics
Authors :
AuthorsEmailORCID
Martins, LFUNSPECIFIEDUNSPECIFIED
Gabriel, VJUNSPECIFIEDUNSPECIFIED
Gabriel, VJUNSPECIFIEDUNSPECIFIED
Date : 1 October 2014
Identification Number : 10.1016/j.jbankfin.2014.05.029
Additional Information : © 2014. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/
Depositing User : Symplectic Elements
Date Deposited : 14 Oct 2015 17:08
Last Modified : 02 Apr 2016 01:08
URI: http://epubs.surrey.ac.uk/id/eprint/808820

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