Long memory and structural breaks in the Spanish stock market index

Long memory and structural breaks in the Spanish stock market index

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Article ID: iaor20091194
Country: United States
Volume: 2
Issue: 1
Start Page Number: 8
End Page Number: 12
Publication Date: Jan 2008
Journal: The Open Operational Research Journal
Authors: ,
Keywords: Spain, stock market
Abstract:

It is well known that the Spanish stock market index (IBEX 35) exhibits unit roots. However, the implications of possible structural breaks in this series have not been deeply investigated. In this paper, we show that, when including a break at the beginning of 1998, the order of integration of the series becomes slightly smaller, strengthening the evidence of mean-reverting behaviour. When the break date is supposed to be unknown, it is found to be January 1998, with both subsamples still being characterised by a high degree of persistence.

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