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Transition Assessment of the Bangladeshi Financial Market Stress Regimes: A Markov Switching Modeling Approach

Maria Afreen
2021 International Journal of social Sciences and Economic Review  
Methodology: The Bangladeshi financial market regimes will be constructed based on Hamilton's Markov Switching Model (1989).  ...  Thus, it describes the financial regimes of transition period movements in the context of the vulnerability of the Bangladeshi financial market sector using the Markov Switching Modeling (MSM) Approach  ...  The model implies the initial aim to characterise the financial market cycle fluctuations into regimes so as to observe the likelihood of regime switching across the investigated time period of 1998 to  ... 
doi:10.36923/ijsser.v3i1.98 fatcat:mxju3gp2b5b3tmmysy6z4gog7u

Sudden Changes In Volatility In European Stock Markets

Khaled Guesmi, Frederic Teulon, Zied Ftiti
2014 Journal of Applied Business Research  
We apply Markov Regime Switching SW-GARCHmodel. Our results show that mostof the European stock markets are closely interlinked to the U.S.  ...  This paper studiesthe volatility in ten Europeanstock markets (Denmark, France, Germany, Ireland, Italy, Netherland, Spain, Sweden,Switzerland and United Kingdom) during the periods of financial crisis  ...  Financial Crises are identified when significant increases of correlation coefficient occurred.  ... 
doi:10.19030/jabr.v30i6.8872 fatcat:drkmwbb4vna4tbcpba54dixurm

A Markov Regime Switching Approach of Estimating Volatility Using Nigerian Stock Market

Yahaya Haruna Umar, Matthew Adeoye
2020 American Journal of Theoretical and Applied Statistics  
Understanding and forecasting the behavior of volatility in stock market has received significant attention among researchers and analysts in the last few decades due to its crucial roles in financial  ...  This study examined the volatility on the Nigeria stock market by comparing two Markov regime switching Autoregressive (MS-AR) Models estimated at different lagged values using the Nigeria stock exchange  ...  This way, the Markov regime switching model is able to capture more complex dynamic patterns.  ... 
doi:10.11648/j.ajtas.20200904.11 fatcat:kezuvg2pincnfehqtyedoufjiq


Umurcan Polat
2017 Eurasian Journal of Economics and Finance  
Before delving into the nonlinear Markov regime-switching model estimation, a conventional one-state linear model is estimated answering to what extent the sovereign credit risk is affected in between  ...  global risk free rate are significant more in tranquil regimes.  ...  They found a notable switching from a tranquil regime to a turbulent regime in the sovereign CDS market of some set of European countries in the postcrisis episode.  ... 
doi:10.15604/ejef.2017.05.04.007 fatcat:54273l7b7jfcjapujccmcptfg4

Modeling South African Banks closing stock prices: a Markov-Switching Approach

Diteboho Xaba, Ntebogang Dinah Moroke, Johnson Arkaah, Charlemagne Pooe
2016 Journal of Economics and Behavioral Studies  
In this paper, we provide evidence that the five variables used in the study were nonlinear in nature, while finding a better Markov-switching model.  ...  Further empirical findings proved that stock prices can be successfully modelled with Markov Switching Autoregressive model of order one.  ...  Results In order to ascertain the possibility of using two-regime switching models for the variables, linearity likelihood ratio (LR) tests were conducted and the regime results reported in Table 3 .  ... 
doi:10.22610/jebs.v8i1(j).1204 fatcat:3aeq4eyhfrdvjoz7xil7x7wqjq

Regime switching behavior of Indian VIX and its time dependent correlation with select developed economies

Jyothi Chittineni
2017 Business and Economic Horizons  
The 2-state dynamic regression model reveals two different regimes using state-dependent variables during the time period 2009 to 2016.  ...  This paper investigates the international financial market integration as a trigger for regime switching behavior of Indian implied volatility index and its regime-dependent conditional correlations with  ...  This model captures more complex dynamics of the variables by allowing them to switch between these regimes.  ... 
doi:10.15208/beh.2017.45 fatcat:phxcmycyurfk5m3ebzjengke44

What drives Markov regime-switching behavior of stock markets? The Swiss case

Martin K. Hess
2003 International Review of Financial Analysis  
To optimally account for dynamic and nonlinear changes in the stock market return distribution we evaluate competing Markov regime switching model setups for the Swiss stock market.  ...  Keywords: Markov regime switching, asymmetric stock return distribution, optimal dynamic setup, memory effect. JEL Codes: G12  ...  This implies a switching process for S t of order two and three, respectively. We will refer to the processes in equations (3) to (5) as models a, b and c in the same order.  ... 
doi:10.1016/s1057-5219(03)00062-0 fatcat:jv2nmpzyoncmjf2qzd3jkqni3u

Liquidity risk of corporate bond returns: conditional approach

Viral V. Acharya, Yakov Amihud, Sreedhar T. Bharath
2013 Journal of Financial Economics  
We study the exposure of the U.S. corporate bond returns to liquidity shocks of stocks and treasury bonds over the period 1973-2007 in a regime switching model.  ...  We find a similar pattern for stocks classified by high or low book-to-market ratio, where again liquidity shocks play a special role in periods characterized by adverse economic conditions.  ...  regime switching model involving stock returns presented in Panel A) as a function of macroeconomic and financial market variables.  ... 
doi:10.1016/j.jfineco.2013.08.002 fatcat:vjlc4ofnnral5pz4rh2escamby

Benchmark Bonds Interactions under Regime Shifts

Dimitris A. Georgoutsos, Petros M. Migiakis
2010 European Financial Management  
Our aim is to illustrate empirically a network of interactions existing among the major bond markets of Europe and the US market taking into account shifts in the underlying stochastic processes.  ...  For this purpose, and in contrast to the rest of the relevant empirical literature, after specifying the long-run equilibrium relations we estimate the linkages between the bond markets as subject to hidden  ...  Markets Research Association.  ... 
doi:10.1111/j.1468-036x.2009.00535.x fatcat:o4lsago4vjgn5imb7l3t36zo4u

Macroeconomic Stress, Equity Market Liquidity Spirals and Markov Regime Switching

Ajay Kumar Mishra, Trilochan Tripathy
2015 International Journal of Economics and Finance  
Hence TVTP model is preferred over the CTP model in identifying the illiquidity spiral and loss spiral regime switching.  ...  Probability models in US equity market.  ...  Illiquid Spiral and Loss Spiral under TVTP We estimate the Markov Regime Switching TVTP both for illiquidity spiral and loss spiral, where we allowed a set of broad financial market variables to explain  ... 
doi:10.5539/ijef.v7n6p179 fatcat:vz34i4dhrbamtfprnpvvlpnl5i

Are CDS spreads predictable? An analysis of linear and non-linear forecasting models

Davide Avino, Ogonna Nneji
2014 International Review of Financial Analysis  
Although these models provide good in-sample performances, we find that the non-linear Markov switching models underperform linear models out-of-sample.  ...  Linear models, in particular, generate positive Sharpe ratios for some of the strategies implemented, thus shedding some doubts on the efficiency of the European CDS index market.  ...  The majority of the explanatory variables are highly significant for each model, in both regimes and for both indices.  ... 
doi:10.1016/j.irfa.2014.04.001 fatcat:cdpjxjnfungt3ayv3m7kr4z7km

The Independence of Indexed Volatilities [chapter]

Katlego Kola, Tumellano Sebehela
2019 Linear and Non-Linear Financial Econometrics -Theory and Practice [Working Title]  
This chapter uses vector autoregression (VAR) for volatility spills and the Markov regime switching model to understand how different volatility regimes behave among bonds, commodities, equities and real  ...  Volatility strategies emanating from this study are equally applicable to both sell and buy sides in securities markets.  ...  Acknowledgements We are grateful to Carlos Campani for providing data on Brazilian commodities index. The remaining errors are our own.  ... 
doi:10.5772/intechopen.90240 fatcat:yqdbfeb6ebfy7jv3agncmp5k4e

Are CDS Spreads Predictable? An Analysis of Linear and Non-Linear Forecasting Models

Davide Avino, Ogonna Nneji
2012 Social Science Research Network  
Although these models provide good in-sample performances, we find that the non-linear Markov switching models underperform linear models out-of-sample.  ...  Linear models, in particular, generate positive Sharpe ratios for some of the strategies implemented, thus shedding some doubts on the efficiency of the European CDS index market.  ...  The majority of the explanatory variables are highly significant for each model, in both regimes and for both indices.  ... 
doi:10.2139/ssrn.2180022 fatcat:q4ezskm4y5aztmjwjw4mjgrbpa

Effectiveness of Interest Rate Policy of the Fed in Management of Subprime Mortgage Crisis

2018 Journal of Risk and Financial Management  
In this study, we analyze the effectiveness of Fed interest rate policy on different markets in the period between 1976 and 2016 through Markov regime-switching regression analysis.  ...  The interaction of personal savings and Federal funds rate is significant during both expansion and recession regimes.  ...  The model can capture more complex dynamic patterns and behaviors of financial time series by allowing these structures to be switched.  ... 
doi:10.3390/jrfm11010009 fatcat:hky54jqyrbg2ffoivvdi54ffta

Corporate efficiency, credit status and investment

Manzur Quader, Karl Taylor
2017 European Journal of Finance  
a predicted corporate efficiency index are estimated in this paper in an effort to clarify the role of cash flow in examining the impact of capital-market imperfections.  ...  Corporate Efficiency, Credit Status and Investment Using a panel of 1122 UK firms listed on the London Stock Exchange over the period of 1981 to 2009, endogenous switching regression models (SRM) incorporating  ...  In order to fully identify the switching regression model, it is needed to determine which regime is the 14 constrained and which regime is the unconstrained.  ... 
doi:10.1080/1351847x.2017.1312475 fatcat:p34gochwuvdkhkceapy6ytcg7m
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