Brunel University Research Archive(BURA) preserves and enables easy and open access to all
types of digital content. It showcases Brunel's research outputs.
Research contained within BURA is open access, although some publications may be subject
to publisher imposed embargoes. All awarded PhD theses are also archived on BURA.
Please use this identifier to cite or link to this item:
http://bura.brunel.ac.uk/handle/2438/20162| Title: | Persistence, non-linearities and structural breaks in European stock market indices |
| Authors: | Caporale, GM Gil-Alana, LA Poza, C |
| Keywords: | European stock markets;nonstationarity;unit roots;fractional integration;persistence;non-linearities |
| Issue Date: | 4-Mar-2020 |
| Publisher: | Elsevier |
| Citation: | Caporale, G.M., Gil-Alana, L.A. and Poza, C. (2020) 'Persistence, non-linearities and structural breaks in European stock market indices', Quarterly Review of Economics and Finance, 77, pp. 50 - 61. doi: 10.1016/j.qref.2020.01.007. |
| Abstract: | © 2020 The Author(s). 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. |
| URI: | https://bura.brunel.ac.uk/handle/2438/20162 |
| DOI: | https://doi.org/10.1016/j.qref.2020.01.007 |
| ISSN: | 1062-9769 |
| Appears in Collections: | Dept of Economics and Finance Research Papers |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| FullText.pdf | 2.55 MB | Adobe PDF | View/Open |
This item is licensed under a Creative Commons License
