Detection of Changes in Panel Data: Change in Fama-French Model Parameters for Selected European Stocks During the Financial Crisis

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F19%3A10403309" target="_blank" >RIV/00216208:11320/19:10403309 - isvavai.cz</a>

Result on the web

<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=70cn71rDMk" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=70cn71rDMk</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.18267/j.polek.1233" target="_blank" >10.18267/j.polek.1233</a>

Result language

angličtina

Original language name

Detection of Changes in Panel Data: Change in Fama-French Model Parameters for Selected European Stocks During the Financial Crisis

Original language description

This study identifies systemic break points in a factor pricing model for firms traded on European stock markets around the financial crisis. The aim is to shed light on the systemic risk transfer in explaining average stock returns in the fragmented European exchanges. Our analysis takes advantage of recent development in econometrics and employs models which enable &apos;automatic&quot; detection of factor model break points. We find that Western European exchanges are more closely integrated with American financial markets than Northern European stock exchanges and those in the United Kingdom. However, all exchanges were eventually affected by the systemic shock. The results of this study provide insight into immunisation strategies for portfolios created from European stocks.

Czech name

—

Czech description

—

Type

J_imp - Article in a specialist periodical, which is included in the Web of Science database

CEP classification

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OECD FORD branch

10103 - Statistics and probability

Project

<a href="/en/project/GA15-09663S" target="_blank" >GA15-09663S: Modeling dynamic financial processes with structural breaks</a><br>

Continuities

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year

2019

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Politická ekonomie

ISSN

0032-3233

e-ISSN

—

Volume of the periodical

67

Issue of the periodical within the volume

1

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

17

Pages from-to

3-19

UT code for WoS article

000461049500001

EID of the result in the Scopus database

2-s2.0-85064125132