Title

Nonparametric multiple change-point analysis of the responses of Asian markets to the global financial crisis

Document Type

Book Chapter

Publisher

Elsevier

Faculty

Faculty of Business and Law

School

School of Business/Markets and Services Research Centre

RAS ID

18650

Comments

This chapter was originally published as: Allen, D. E., Kalev, P., McAleer, M., & Singh, A. (2014). Nonparametric Multiple Change-Point Analysis of the Responses of Asian Markets to the Global Financial Crisis. In Chuen, D. L. K. & Gregoriou, G. N. (Eds.). Handbook of Asian Finance: REITs, Trading, and Fund Performance (pp. 267-284). United States: Elsevier. Copy of chapter available here

Abstract

This analysis presents an application of a recently developed approach by Matteson and James (2012) for the analysis of change points in time-series data; in this case financial market indices converted to financial return series. The method involves the nonparametric estimation of both the number of change points and the positions at which they occur without making assumptions about the nature of the distributions involved. The procedure is used to explore the timing and number of change points in the data sets corresponding to the effects of the GFC and subsequent European Debt Crisis and their impact on daily market index return series for the Japanese, Chinese, Malaysian, Singaporean, and Indonesian markets from 2003 to 2013

DOI

10.1016/B978-0-12-800986-4.00015-7

Share

 
COinS