Regime dependent dynamics and European stock markets: Is asset allocation really possible?
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| 024 | 7 | 0 | |a 10.1007/s10663-014-9248-0 |2 doi |
| 035 | |a (NATIONALLICENCE)springer-10.1007/s10663-014-9248-0 | ||
| 245 | 0 | 0 | |a Regime dependent dynamics and European stock markets: Is asset allocation really possible? |h [Elektronische Daten] |c [Wasim Ahmad, N. Bhanumurthy, Sanjay Sehgal] |
| 520 | 3 | |a In this study, we examine the regime shifts and volatility in stock market returns of eighteen European stock markets and the USA and utilize these regimes in asset allocation and risk management contexts. Using a Markov regime switching model, the study finds strong evidence of regime switching characterized by two regimes over the sample period from February, 1996 to January, 2012. Smoothed probabilities and time-varying conditional volatilities also highlight the meaningful turning points including the recent global financial crisis (2008) and Eurozone crisis (2009). Analyzing the market synchronization and Sharpe ratios, the study finally concludes that sample markets provide very limited scope of asset allocation and risk diversification. | |
| 540 | |a Springer Science+Business Media New York, 2014 | ||
| 690 | 7 | |a Markov switching model |2 nationallicence | |
| 690 | 7 | |a European stock markets |2 nationallicence | |
| 690 | 7 | |a Regime shifts |2 nationallicence | |
| 690 | 7 | |a Synchronization |2 nationallicence | |
| 690 | 7 | |a Asset allocation |2 nationallicence | |
| 700 | 1 | |a Ahmad |D Wasim |u Department of Financial Studies, University of Delhi, South Campus, Benito Juarez Road, 110-021, New Delhi, India |4 aut | |
| 700 | 1 | |a Bhanumurthy |D N. |u National Institute of Public Finance and Policy (NIPFP), 18/2 Satsang Vihar Marg, Special Institutional Area, 110067, New Delhi, India |4 aut | |
| 700 | 1 | |a Sehgal |D Sanjay |u Department of Financial Studies, University of Delhi, South Campus, Benito Juarez Road, 110-021, New Delhi, India |4 aut | |
| 773 | 0 | |t Empirica |d Springer US; http://www.springer-ny.com |g 42/1(2015-02-01), 77-107 |x 0340-8744 |q 42:1<77 |1 2015 |2 42 |o 10663 | |
| 856 | 4 | 0 | |u https://doi.org/10.1007/s10663-014-9248-0 |q text/html |z Onlinezugriff via DOI |
| 898 | |a BK010053 |b XK010053 |c XK010000 | ||
| 900 | 7 | |a Metadata rights reserved |b Springer special CC-BY-NC licence |2 nationallicence | |
| 908 | |D 1 |a research-article |2 jats | ||
| 949 | |B NATIONALLICENCE |F NATIONALLICENCE |b NL-springer | ||
| 950 | |B NATIONALLICENCE |P 856 |E 40 |u https://doi.org/10.1007/s10663-014-9248-0 |q text/html |z Onlinezugriff via DOI | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Ahmad |D Wasim |u Department of Financial Studies, University of Delhi, South Campus, Benito Juarez Road, 110-021, New Delhi, India |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Bhanumurthy |D N. |u National Institute of Public Finance and Policy (NIPFP), 18/2 Satsang Vihar Marg, Special Institutional Area, 110067, New Delhi, India |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Sehgal |D Sanjay |u Department of Financial Studies, University of Delhi, South Campus, Benito Juarez Road, 110-021, New Delhi, India |4 aut | ||
| 950 | |B NATIONALLICENCE |P 773 |E 0- |t Empirica |d Springer US; http://www.springer-ny.com |g 42/1(2015-02-01), 77-107 |x 0340-8744 |q 42:1<77 |1 2015 |2 42 |o 10663 | ||