Kanas, Angelos (2009) Regime switching in stock index and futures markets: A note on the NIKKEI evidence. International Journal of Finance and Economics, 14 (4). pp. 394-399. ISSN 1076-9307. (doi:10.1002/ijfe.390) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:41142)
| The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. | |
| Official URL: http://dx.doi.org/10.1002/ijfe.390 |
|
Abstract
Using a time-varying regime-switching vector error correction approach, we find strong evidence that the NIKKEI stock index cash and futures prices are jointly characterized by regime switching, which is time-varying and dependent upon the basis, the interest rate, the volatility of the cash index, and the US futures market. Copyright © 2009 John Wiley & Sons, Ltd.
| Item Type: | Article |
|---|---|
| DOI/Identification number: | 10.1002/ijfe.390 |
| Additional information: | Unmapped bibliographic data: AD - Department of Economics, University of Crete, Greece [Field not mapped to EPrints] AD - Institute of Applied and Computational Mathematics (IACM), Foundation of Research and Technology (FORTH-HELLAS), Greece [Field not mapped to EPrints] JA - Int. J. Financ. Econ. [Field not mapped to EPrints] |
| Uncontrolled keywords: | Japan, Regime switching, Stock index futures, Time-varying transition, error correction, interest rate, numerical method, price dynamics, stock market, Japan, United States |
| Subjects: | H Social Sciences > HG Finance |
| Institutional Unit: | Schools > Kent Business School |
| Former Institutional Unit: |
Divisions > Kent Business School - Division > Kent Business School (do not use)
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| Depositing User: | Tracey Pemble |
| Date Deposited: | 22 May 2014 13:38 UTC |
| Last Modified: | 20 May 2025 11:50 UTC |
| Resource URI: | https://kar.kent.ac.uk/id/eprint/41142 (The current URI for this page, for reference purposes) |
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