caa a22 4500 605534276 CHVBK 20210128100842.0 cr unu---uuuuu 210128e20150201xx s 000 0 eng 10.1007/s10663-014-9248-0 doi (NATIONALLICENCE)springer-10.1007/s10663-014-9248-0 Regime dependent dynamics and European stock markets: Is asset allocation really possible? [Elektronische Daten] [Wasim Ahmad, N. Bhanumurthy, Sanjay Sehgal] 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. Springer Science+Business Media New York, 2014 Markov switching model nationallicence European stock markets nationallicence Regime shifts nationallicence Synchronization nationallicence Asset allocation nationallicence Ahmad Wasim Department of Financial Studies, University of Delhi, South Campus, Benito Juarez Road, 110-021, New Delhi, India aut Bhanumurthy N. National Institute of Public Finance and Policy (NIPFP), 18/2 Satsang Vihar Marg, Special Institutional Area, 110067, New Delhi, India aut Sehgal Sanjay Department of Financial Studies, University of Delhi, South Campus, Benito Juarez Road, 110-021, New Delhi, India aut Empirica Springer US; http://www.springer-ny.com 42/1(2015-02-01), 77-107 0340-8744 42:1<77 2015 42 10663 https://doi.org/10.1007/s10663-014-9248-0 text/html Onlinezugriff via DOI BK010053 XK010053 XK010000 Metadata rights reserved Springer special CC-BY-NC licence nationallicence 1 research-article jats NATIONALLICENCE NATIONALLICENCE NL-springer NATIONALLICENCE 856 40 https://doi.org/10.1007/s10663-014-9248-0 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Ahmad Wasim Department of Financial Studies, University of Delhi, South Campus, Benito Juarez Road, 110-021, New Delhi, India aut NATIONALLICENCE 700 1- Bhanumurthy N. National Institute of Public Finance and Policy (NIPFP), 18/2 Satsang Vihar Marg, Special Institutional Area, 110067, New Delhi, India aut NATIONALLICENCE 700 1- Sehgal Sanjay Department of Financial Studies, University of Delhi, South Campus, Benito Juarez Road, 110-021, New Delhi, India aut NATIONALLICENCE 773 0- Empirica Springer US; http://www.springer-ny.com 42/1(2015-02-01), 77-107 0340-8744 42:1<77 2015 42 10663