Morelli, David A. (2002) 'The Robustness of Tests of Structural Change in Equity Returns using Factor Analysis'. Applied Economics, 34 (part 2). pp. 241-252. ISSN 0003-6846. (doi:10.1080/00036840110036279) (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:9218)
| 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: https://doi.org/10.1080/00036840110036279 |
Abstract
The objective of this paper is to perform various tests of structural change within the context of factor analysis and determine how robust the results of such tests are to; the security selection criteria in constructing portfolios, portfolio size, and methods of factor extraction. The question of a possible structural change is addressed by examining the Stock Market Crash of October 1987. Monthly returns on 257 securities listed on the London Stock Exchange covering the period January 1976 to December 1995 are used. The data period incorporates the Stock Market Crash of October 1987.
| Item Type: | Article |
|---|---|
| DOI/Identification number: | 10.1080/00036840110036279 |
| Subjects: | H Social Sciences > HG Finance |
| Divisions: | Divisions > Kent Business School - Division > Department of Accounting and Finance |
| Depositing User: | David Morelli |
| Date Deposited: | 18 Oct 2008 20:47 UTC |
| Last Modified: | 05 Nov 2024 09:42 UTC |
| Resource URI: | https://kar.kent.ac.uk/id/eprint/9218 (The current URI for this page, for reference purposes) |
University of Kent Author Information
Morelli, David A..
| Creator's ORCID: |
 https://orcid.org/0000-0002-1501-4312
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