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Modeling regime transition in stock index futures markets and forecasting implications

Kanas, Angelos (2008) Modeling regime transition in stock index futures markets and forecasting implications. Journal of Forecasting, 27 (8). pp. 649-669. ISSN 0277-6693. (doi:10.1002/for.1084) (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/for.1084

Abstract

Using a time-varying regime-switching vector error correction approach, this paper seeks to address which factors explain the transition across regimes of the US and the UK stock index futures markets. The findings suggest that the basis exercises a significant effect in regime transition. The basis effect is driven by a dividend yield effect in the UK, and by a dividend yield effect and an interest rate effect in the USA. The volatility of the underlying index is another significant factor, which is consistent with the significance of the basis in conjunction with Chen et al. (1995). Furthermore, there is evidence of an international regime transition effect from the UK to the USA. In most cases, forecasts based on time-varying regime transition models are more accurate than forecasts based on models with constant transition probabilities. Copyright © 2008 John Wiley & Sons, Ltd.

Item Type: Article
DOI/Identification number: 10.1002/for.1084
Additional information: Unmapped bibliographic data: AD - Department of Economics, University of Crete, Greece [Field not mapped to EPrints] AD - IACM, FORTH, Crete, Greece [Field not mapped to EPrints] AD - Department of Economics, University of Crete, 74100 Rethymnon, Crete, Greece [Field not mapped to EPrints] JA - J Forecast [Field not mapped to EPrints]
Uncontrolled keywords: Regime switching, Stock index futures, Time-varying transition, UK, USA, Error correction, Time varying systems, Regime switching, Stock index futures, Time-varying transition, UK, USA, Forecasting
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 13:40 UTC
Last Modified: 29 May 2019 12:36 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/41143 (The current URI for this page, for reference purposes)
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