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

Caporale, G.M. (Guglielmo M.); Gil-Alana, L.A. (Luis A.); Poza, C. (Carlos)

Authors:

Caporale, G.M. (Guglielmo M.)

Gil-Alana, L.A. (Luis A.)

Poza, C. (Carlos)

Keywords:

European stock markets
Nonstationarity
Unit roots
Fractional integration
Persistence
Non-linearities

Issue Date:

2020

Publisher:

Elsevier

Project:

info:eu-repo/grantAgreement/AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2013-2016/ECO2017-85503-R/ES/INTEGRACION FRACCIONAL, PROCESOS DE MEMORIA LARGA Y NO LINEALIDADES EN SERIES DE TIEMPO. EVIDENCIA EN LOS PAISES EN VIAS DE DESARROLLO

ISSN:

1062-9769

Note:

This is an open access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/).

Citation:

Caporale, G.M. (Guglielmo M.); Gil-Alana, L.A. (Luis A.); Poza, C. (Carlos). "Persistence, non-linearities and structural breaks in European stock market indices". Quarterly Review of Economics and Finance. 77 (50), 2020, 61

Abstract

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.

URI:

https://hdl.handle.net/10171/67658

DOI:

1062-9769

Appears in Collections:

DA - Economía - Artículo de revista

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