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Regime switching in stock index and futures markets: A note on the NIKKEI evidence

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)

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. (Contact us about this Publication)
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
Divisions: Faculties > Social Sciences > Kent Business School > Accounting and Finance
Depositing User: Tracey Pemble
Date Deposited: 22 May 2014 13:38 UTC
Last Modified: 29 May 2019 12:36 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/41142 (The current URI for this page, for reference purposes)
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