Please use this identifier to cite or link to this item:
https://www.um.edu.mt/library/oar/handle/123456789/70845
Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Ferreira, Nuno | - |
dc.contributor.author | Menezes, Rui | - |
dc.contributor.author | Bentes, Sónia | - |
dc.date.accessioned | 2021-03-10T08:40:22Z | - |
dc.date.available | 2021-03-10T08:40:22Z | - |
dc.date.issued | 2013 | - |
dc.identifier.citation | Ferreira, N., Menezes, R., & Bentes, S. (2013). Globalization, regime-switching, and EU stock markets: the impact of the sovereign debt crises. International Journal of Finance, Insurance and Risk Management, 3(3), 556-562. | en_GB |
dc.identifier.uri | https://www.um.edu.mt/library/oar/handle/123456789/70845 | - |
dc.description.abstract | The most recent models learn over time, making the necessary adjustments to a new level of peaks or troughs, which enables the more accurate prediction of turning points. The Smooth Regression Model may be regarded as having a linear and a nonlinear component and may over time determine whether there is only a linear or nonlinear component or, in some cases, both. The present study focuses on the impact effect analysis of the European markets contamination by sovereign debt (particularly in Portugal, Spain, France and Ireland). The smooth transition regression approach applied in this study has proved to be a viable alternative for the analysis of the historical behavioural adjustment between interest rates and stock market indices. We found evidence in the crisis regime, i.e., large negative returns, especially in the case of Portugal, where we obtained the greatest nonlinear threshold adjustment between interest rates and stock market returns. | en_GB |
dc.language.iso | en | en_GB |
dc.publisher | ISMASYSTEMS Scientific Research | en_GB |
dc.rights | info:eu-repo/semantics/openAccess | en_GB |
dc.subject | Stock exchanges -- Europe | en_GB |
dc.subject | Interest rates -- European Union countries | en_GB |
dc.subject | Regression analysis | en_GB |
dc.subject | Nonlinear theories | en_GB |
dc.subject | Debts, Public -- European Union countries | en_GB |
dc.title | Globalization, regime-switching, and EU stock markets : the impact of the sovereign debt crises | en_GB |
dc.type | article | en_GB |
dc.rights.holder | The copyright of this work belongs to the author(s)/publisher. The rights of this work are as defined by the appropriate Copyright Legislation or as modified by any successive legislation. Users may access this work and can make use of the information contained in accordance with the Copyright Legislation provided that the author must be properly acknowledged. Further distribution or reproduction in any format is prohibited without the prior permission of the copyright holder | en_GB |
dc.description.reviewed | peer-reviewed | en_GB |
dc.identifier.doi | 10.35808/ijfirm/79 | - |
dc.publication.title | International Journal of Finance, Insurance and Risk Management | en_GB |
Appears in Collections: | Volume 3, Issue 3, 2013 |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
Globalization_regime_switching_and_EU_stock_markets.pdf | 264.29 kB | Adobe PDF | View/Open |
Items in OAR@UM are protected by copyright, with all rights reserved, unless otherwise indicated.