Persistence, non-linearities and structural breaks in European stock market indices

Guglielmo Maria Caporale, Luis A. Gil-Alana, Carlos Poza

This paper examines persistence, structural breaks and non-linearities in the case of five European stock market indices, namely the FTSE100 (UK), DAX30 (Germany), CAC40 (France), IBEX35 (Spain) and FTSE MIB40 (Italy), using fractional integration methods. The empirical results provide no evidence of non-linearities in either prices or returns; the former are found to exhibit unit roots and the latter to be I(0) in most cases. Further, between 2 and 4 structural breaks are found for each of the return series, and mean reversion in some subsamples.

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Year of publication:	[2019]
Authors:	Caporale, Guglielmo Maria ; Gil-Alaña, Luis A. ; Poza, Carlos
Publisher:	Munich, Germany : CESifo, Center for Economic Studies & Ifo Institute
Subject:	European stock markets \| nonstationarity \| unit roots \| fractional integration \| persistence \| non-linearities \| Zeitreihenanalyse \| Time series analysis \| Strukturbruch \| Structural break \| Aktienmarkt \| Stock market \| Einheitswurzeltest \| Unit root test \| Schätzung \| Estimation \| Europa \| Europe \| Nichtlineare Regression \| Nonlinear regression \| Kointegration \| Cointegration \| EU-Staaten \| EU countries