Scholarlink

This research investigates structural breaks in global stock markets, employing the Chow test on major indices from January 2013 to November 2023. Results reveal significant breaks in NYSE (November 2020) linked to the US election and positive vaccine trials, Nasdaq (May 2020) amidst global concerns over COVID-19, and Euronext 100 (February 2021), suggesting market shifts. Notably, Shanghai Stock Exchange experienced a robust break in December 2014, contrasting with SZSE's non-significant break. HKEX experiences a significant shift in June 2020, possibly influenced by US regulatory policies and COVID-19. The Nifty index shows a profound break in December 2020, correlated with pandemic severity. LSE Group evidences a break in July 2019, while the Saudi Exchange shows non-significant evidence in March 2021. The study underscores the importance of considering structural breaks for accurate market forecasting and decision-making. Descriptive statistics provide insights into market characteristics. The methodology integrates the Chow test and CUSUM squares for break detection. Findings contribute to understanding global market dynamics and emphasize the impact of external events on structural stability.

错误：搜索内容不能为空，请输入英文关键词
错误：关键词超出字数限制，请精简
高级检索

Unveiling Dynamics of Structural Breaks in Global Stock Markets and Implications for Forecasting Accuracy

  • 会议论文

  • 发表日期：

    2025年

查看全文
  • J. Shashidhar Yadav,
  • Subramanyam Mutyala,
  • D. Saiprasad,
  • H. M. Devananda,
  • G. T. Jagadeesha

摘要

This research investigates structural breaks in global stock markets, employing the Chow test on major indices from January 2013 to November 2023. Results reveal significant breaks in NYSE (November 2020) linked to the US election and positive vaccine trials, Nasdaq (May 2020) amidst global concerns over COVID-19, and Euronext 100 (February 2021), suggesting market shifts. Notably, Shanghai Stock Exchange experienced a robust break in December 2014, contrasting with SZSE's non-significant break. HKEX experiences a significant shift in June 2020, possibly influenced by US regulatory policies and COVID-19. The Nifty index shows a profound break in December 2020, correlated with pandemic severity. LSE Group evidences a break in July 2019, while the Saudi Exchange shows non-significant evidence in March 2021. The study underscores the importance of considering structural breaks for accurate market forecasting and decision-making. Descriptive statistics provide insights into market characteristics. The methodology integrates the Chow test and CUSUM squares for break detection. Findings contribute to understanding global market dynamics and emphasize the impact of external events on structural stability.