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Has the structural break slowed down growth rates of stock markets?

Narayan, Paresh Kumar, Narayan, Seema and Mishra, Sagarika 2013, Has the structural break slowed down growth rates of stock markets?, Economic modelling, vol. 30, pp. 595-601, doi: 10.1016/j.econmod.2012.10.001.

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Title Has the structural break slowed down growth rates of stock markets?
Author(s) Narayan, Paresh Kumar
Narayan, Seema
Mishra, Sagarika
Journal name Economic modelling
Volume number 30
Start page 595
End page 601
Total pages 7
Publisher Elsevier BV
Place of publication Amsterdam, The Netherlands
Publication date 2013-01
ISSN 0264-9993
1873-6122
Keyword(s) common structural break test
stock markets
US stock markets
UK stock markets
Japanese stock markets
Summary In this paper, we use the common structural break test suggested by Bai et al. (1998) to test for a common structural break in the stock prices of the US, the UK, and Japan. On the basis of the structural break, we divide each country's stock price series into sub-samples and investigate whether or not the structural break had slowed down the growth of stock markets. Our main findings are that when stock markets are modelled in a trivariate sense the common structural break turns out to be 1990:02, with the confidence interval including several episodes, such as the asset price bubble when housing prices and stock prices in Japan reached a peak in 1988/1989, the early 1990s recession in the UK, the business cycle peak of July 1990, the August 1990 Iraqi invasion of Kuwait and the March 1991 business cycle trough. Annual average growth rates suggest that the structural break has slowed down the growth rate of the US, the UK and Japanese stock markets.
Language eng
DOI 10.1016/j.econmod.2012.10.001
Field of Research 150202 Financial Econometrics
Socio Economic Objective 910103 Economic Growth
HERDC Research category C1 Refereed article in a scholarly journal
HERDC collection year 2013
Copyright notice ©2013, Elsevier
Persistent URL http://hdl.handle.net/10536/DRO/DU:30056312

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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Created: Wed, 02 Oct 2013, 10:30:57 EST by Aysun Alpyurek

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