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

✍ Scribed by Angelos Kanas

Publisher: John Wiley and Sons
Year: 2009
Tongue: English
Weight: 95 KB
Volume: 14
Category: Article
ISSN: 1076-9307
DOI: 10.1002/ijfe.390

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✦ Synopsis

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.

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