Nonparametric multiple change-point analysis of the responses of Asian markets to the global financial crisis
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
Document Type
Book Chapter
Date of Publication
1-1-2014
Faculty
Faculty of Business and Law
Publisher
Elsevier
School
School of Business / Markets and Services Research Centre
RAS ID
18650
Copyright
subscription content
Comments
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