Nonlinearity in stock returns: Do risk aversion, investor sentiment and, monetary policy shocks matter?
This paper examines the nonlinear effect of risk aversion, monetary shocks and sentiment
changes, on index returns for a set of developed countries. We employ a smooth transition …
changes, on index returns for a set of developed countries. We employ a smooth transition …
A pre-crisis vs. crisis analysis of peripheral EU stock markets by means of wavelet transform and a nonlinear causality test
This paper presents an analysis of EU peripheral (so-called PIIGS) stock market indices and
the S&P Europe 350 index (SPEURO), as a European benchmark market, over the pre-crisis …
the S&P Europe 350 index (SPEURO), as a European benchmark market, over the pre-crisis …
Non-linear predictability in stock and bond returns: When and where is it exploitable?
We systematically examine the comparative predictive performance of a number of linear
and non-linear models for stock and bond returns in the G7 countries. Besides Markov …
and non-linear models for stock and bond returns in the G7 countries. Besides Markov …
Do macro-economic variables explain stock-market returns? Evidence using a semi-parametric approach
In this article we test whether the stock market in India is driven by macro-economic
fundamentals. We use a non-parametric approach to determine whether any variables are …
fundamentals. We use a non-parametric approach to determine whether any variables are …
Regime dependent dynamics and European stock markets: Is asset allocation really possible?
W Ahmad, NR Bhanumurthy, S Sehgal - Empirica, 2015 - Springer
In this study, we examine the regime shifts and volatility in stock market returns of eighteen
European stock markets and the USA and utilize these regimes in asset allocation and risk …
European stock markets and the USA and utilize these regimes in asset allocation and risk …
[PDF][PDF] Regime changes in the relationship between stock returns and the macroeconomy
The presence of nonlinear influences in the relationship between stock returns and the
macroeconomy is examined for eight countries. The markets chosen are Belgium, Canada …
macroeconomy is examined for eight countries. The markets chosen are Belgium, Canada …
Does the Macroeconomy Predict UK Asset Returns in a Nonlinear Fashion? Comprehensive Out‐of‐Sample Evidence
We perform a comprehensive examination of the recursive, comparative predictive
performance of linear and nonlinear models for UK stock and bond returns. We estimate …
performance of linear and nonlinear models for UK stock and bond returns. We estimate …
Time‐varying world and regional integration in emerging European equity markets
MC Wang, FM Shih - European Financial Management, 2013 - Wiley Online Library
This study investigates time‐varying world and regional integration in emerging European
markets. Categorising global and regional effects into return and volatility spillovers, we also …
markets. Categorising global and regional effects into return and volatility spillovers, we also …
Equity portfolio diversification under time-varying predictability: Evidence from Ireland, the US, and the UK
We use multivariate regime switching vector autoregressive models to characterize the time-
varying linkages among short-term interest rates (monetary policy) and stock returns in the …
varying linkages among short-term interest rates (monetary policy) and stock returns in the …
Benchmark bonds interactions under regime shifts
In the present paper we examine the interactions among five benchmark ten year
government bonds, namely those of the USA, Germany, France, Italy and the Netherlands …
government bonds, namely those of the USA, Germany, France, Italy and the Netherlands …