Persistence, non-linearities and structural breaks in European stock market indices

被引：8

作者：

Caporale, Guglielmo Maria ^{[1
]}

Gil-Alana, Luis A. ^{[2
,3
]}

Poza, Carlos ^{[3
]}

机构：

[1] Brunel Univ London, Dept Econ & Finance, Uxbridge UB8 3PH, Middx, England

[2] Univ Navarra, Pamplona, Spain

[3] Univ Francisco de Vitoria, Madrid, Spain

来源：

QUARTERLY REVIEW OF ECONOMICS AND FINANCE | 2020年 / 77卷

关键词：

European stock markets; Nonstationarity; Unit roots; Fractional integration; Persistence; Non-linearities; FRACTIONAL-INTEGRATION; LONG MEMORY; TESTS;

D O I：

10.1016/j.qref.2020.01.007

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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 non-linearities 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. (C) 2020 The Author(s). Published by Elsevier Inc. on behalf of Board of Trustees of the University of Illinois.

引用

页码：50 / 61

页数：12

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