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

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.

• Publication year

  2020

• Venue

  Quarterly Review of Economics and Finance

• Publication date

  2020-03-04

• Fields of study

  Economics

• Identifiers
  DOI 10.1016/J.QREF.2020.01.007
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

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