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

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

10103 - Statistics and probability

Projekt

<a href="/cs/project/GA15-09663S" target="_blank" >GA15-09663S: Modelování dynamických finančních procesů se strukturálními změnami</a><br>

Návaznosti

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

Rok uplatnění

2019

Kód důvěrnosti údajů

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

Název periodika

Politická ekonomie

ISSN

0032-3233

e-ISSN

—

Svazek periodika

67

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

17

Strana od-do

3-19

Kód UT WoS článku

000461049500001

EID výsledku v databázi Scopus

2-s2.0-85064125132