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Modeling Turning Points In Global Equity Market

Author

Listed:
  • Daniel Felix Ahelegbey

    (University of Pavia)

  • Monica Billio

    (University of Venice)

  • Roberto Casarin

    (University of Venice)

Abstract
Turning points in financial markets are often characterized by changes in the direction and/or magnitude of market movements with short-to-long term impacts on investors’ decisions. This paper develops a Bayesian technique to turning point detection in financial equity markets. We derive the interconnectedness among stock market returns from a piece-wise network vector autoregressive model. The empirical application examines turning points in global equity market over the past two decades. We also compare the Covid-19 induced interconnectedness with that of the global financial crisis in 2008 to identify similarities and the most central market for spillover propagation

Suggested Citation

  • Daniel Felix Ahelegbey & Monica Billio & Roberto Casarin, 2020. "Modeling Turning Points In Global Equity Market," DEM Working Papers Series 195, University of Pavia, Department of Economics and Management.
    • Handle: RePEc:pav:demwpp:demwp0195
    as

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    File URL: http://dem-web.unipv.it/web/docs/dipeco/quad/ps/RePEc/pav/demwpp/DEMWP0195.pdf
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    References listed on IDEAS

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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Bayesian inference; Dynamic Programming; Turning points; Networks; VAR.;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G01 - Financial Economics - - General - - - Financial Crises

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