Regime change and the role of international markets on the stock returns of small open economies

European Financial Management

Volumn 14, Issue 2, 2008, Pages 315-346

  Bredin, Don ^a   Hyde, Stuart ^b  

^a UNIVERSITY COLLEGE DUBLIN   (Ireland)

^b UNIVERSITY OF MANCHESTER   (United Kingdom)

Author keywords

Regime switching; Smooth transition

Indexed keywords

EID: 40549124313     PISSN: 13547798     EISSN: 1468036X     Source Type: Journal    
DOI: 10.1111/j.1468-036X.2007.00361.x     Document Type: Article

References (40)

1. Aggarwal, R., Lucey, B. and Muckley, C. Dynamics of equity market integration in Europe: Evidence of changes over time and with events Working Paper No. 19 (IIIS, Trinity College Dublin, 2004).
2. Alles, L. and Murray, L. An examination of return and volatility patterns on the Irish equity market Applied Financial Economics, Vol. 11, 2001, pp. 137 46.
3. Ang, A. and Bekaert, G. International asset allocation with regime shifts Review of Financial Studies, Vol. 15, 2002, pp. 1137 87.
4. Arshanapalli, B. and Doukas, J. International stock market linkages: evidence from the pre- and post-October 1987 period Journal of Banking and Finance, Vol. 17, 1993, pp. 193 208.
5. Aslanidis, N., Osborn, D. R. and Sensier, M. Explaining movements in UK stock prices: how important is the US market? Working Paper (Centre for Growth and Business Cycles Research, University of Manchester, 2003).
6. Baele, L. Volatility spillover effects in European equity markets Journal of Financial and Quantitative Analysis, Vol. 40, 2005, pp. 373 401.
7. Bradley, M. D. and Jansen, D. W. Forecasting with a nonlinear dynamic model of stock returns and industrial production International Journal of Forecasting, Vol. 20, 2004, pp. 321 42.
8. Becker, K., Finnerty, J. and Friedman, J. Economic news and equity market linkages between the US and UK Journal of Banking and Finance, Vol. 19, 1995, pp. 1191 1210.
9. Brooks, R. and Del Negro, M. Country versus region effects in International Stock Returns Journal of Portfolio Management, Vol. 31, 2005, pp. 67 72.
10. Cauchie, S., Hoesli, M. and Isakov, D. The determinants of stock returns in a small open economy International Review of Finance and Economics, Vol. 13, 2004, pp. 167 85.
11. Christiansen, C. Decomposing European bond and equity volatility Working Paper (Aarhus University, 2005)
12. Christiansen, C. Volatility-spillover effects in European bond markets European Financial Management, 2007, forthcoming.
13. Connolly, R. and Wang, F. International equity market comovements: economic fundamentals or contagion Pacific Basin Finance Journal, Vol. 11, 2003, pp. 23 44.
14. Cotter, J. International equity market integration in a small open economy: Ireland January 1990-December 2000 International Review of Financial Analysis, Vol. 13, 2004, pp. 669 85.
15. Diebold, F. X. and Mariano, R. S. Computing predictive accuracy Journal of Business and Economic Statistics, Vol. 13, 1995, pp. 253 63.
16. Eitrheim, Ø. and Teräsvirta, T. Testing the adequacy of smooth transition autoregressive models Journal of Econometrics, Vol. 74, 1996, pp. 59 75.
17. Engsted, T. and Tanggaard, C. The comovement of US and UK stock markets European Financial Management, Vol. 10, 2004, pp. 593 607.
18. Errunza, V. and Hogan, K. Macroeconomic determinants of European stock market volatility European Financial Management, Vol. 4, 1998, pp. 361 77.
19. Flannery, M. and Protopapakis, A. Macroeconomic factors do influence aggregate stock returns Review of Financial Studies, Vol. 15, 2002, pp. 751 82.
20. Gallagher, L. Interdependencies among the Irish, British and German stock markets Economic and Social Review, Vol. 26, 1995, pp. 131 48.
21. Gottheil, F. Ireland: what's Celtic about the Celtic tiger? The Quarterly Review of Economics and Finance, Vol. 43, 2003, pp. 720 37.
22. Guidolin, M. and Hyde, S. Who tames the Celtic tiger? Portfolio implications from a multivariate markov switching model Working Paper (University of Manchester, 2006).
23. Guidolin, M. and Timmermann, A. Recursive modelling of nonlinear dynamics in UK stock returns The Manchester School, Vol. 71, 2003, pp. 381 95.
24. Guidolin, M. and Timmermann, A. Economic implications of bull and bear regimes in UK stock and bond returns The Economic Journal, Vol. 115, 2005, pp. 111 43.
25. Hamilton, J. A new approach to the economic analysis of nonstationary time series and the business cycle Econometrica, Vol. 57, 1989, pp. 357 84.
26. Holmes, M. J. and Wang, P. Oil price shocks and the asmmetric ajustment of UK output: a Markov-switching approach International Review of Applied Economics, Vol. 17, 2003, pp. 181 92.
27. Kearney, C. The causes of volatility in a small internationally integrated stock market: Ireland July 1975-June 1994 The Journal of Financial Research, Vol. 21, 1998, pp. 85 104.
28. Kim, S., Moshirian, F. and Wu, E. Dynamic stock market integration driven by the European Monetary Union: an empirical analysis Journal of Banking and Finance, Vol. 29, 2005, pp. 2475 2502.
29. Longin, F. and Solnik, B. Extreme correlation and international equity markets Journal of Finance, Vol. 56, 2001, pp. 649 76.
30. Luukkonen, R., Saikkonen, P. and Teräsvirta, T. Testing linearity against smooth transition autoregressive models Biometrika, Vol. 75, 1988, pp. 491 99.
31. McMillan, D. G. Non-linear predictability of stock market returns: evidence from non-parametric and threshold models International Review of Economics and Finance, Vol. 10, 2001, pp. 353 68.
32. McQueen, G. and Roley, V. V. Stock prices, news and business conditions Review of Financial Studies, Vol. 6, 1993, pp. 683 707.
33. Perez-Quiros, G. and Timmermann, A. Firm size and cyclical variations in stock returns Journal of Finance, Vol. 55, 2000, pp. 1229 62.
34. Pesaran, M. H. and Timmermann, A. A simple nonparametric test of predictive performance Journal of Business and Economic Statistics, Vol. 10, 1992, pp. 461 65.
35. Raymond, J. E. and Rich, R. W. Oil and the macroeconomy: a Markov state-switching approach Journal of Money, Credit and Banking, Vol. 29, 1997, pp. 193 213.
36. Sarantis, N. Nonlinearities, cyclical behaviour and predictability in stock markets: international evidence International Journal of Forecasting, Vol. 17, 2001, pp. 459 82.
37. Sensier, M., Osborn, D. R. and Öcal, N. Asymmetric interest rate effects for the UK real economy Oxford Bulletin of Economics and Statistics, Vol. 64, 2002, pp. 315 39.
38. Teräsvirta, T. Specification, estimation and evaluation of smooth transition autoregressive models Journal of American Statistical Association, Vol. 89, 1994, pp. 208 18.
39. Teräsvirta, T. Smooth transition regression modeling in H. Lütkepohl and M. Krätzig (eds Applied Time Series Econometrics (Cambridge : Cambrdige University Press, 2004 pp. 222 42.
40. van Dijk, D., Teräsvirta, T. and Franses, P. H. Smooth transition autoregressive models - a survey of recent developments Econometric Reviews, Vol. 21, 2002, pp. 1 47.