Exportar Publicação

A publicação pode ser exportada nos seguintes formatos: referência da APA (American Psychological Association), referência do IEEE (Institute of Electrical and Electronics Engineers), BibTeX e RIS.

Exportar Referência (APA) 
Martins, L. F. & Gabriel, V. J.  (2014). Modelling long run comovements in equity markets: a flexible approach. Journal of Banking and Finance. 47, 288-295
Exportar Referência (IEEE) 
L. F. Martins and G. V.J.,  "Modelling long run comovements in equity markets: a flexible approach", in Journal of Banking and Finance, vol. 47, pp. 288-295, 2014
Exportar BibTeX 
@article{martins2014_1722082239670,
	author = "Martins, L. F. and Gabriel, V. J. ",
	title = "Modelling long run comovements in equity markets: a flexible approach",
	journal = "Journal of Banking and Finance",
	year = "2014",
	volume = "47",
	number = "",
	doi = "10.1016/j.jbankfin.2014.05.029",
	pages = "288-295",
	url = "http://www.sciencedirect.com/science/article/pii/S0378426614001964"
}
Exportar RIS 
TY  - JOUR
TI  - Modelling long run comovements in equity markets: a flexible approach
T2  - Journal of Banking and Finance
VL  - 47
AU  - Martins, L. F.
AU  - Gabriel, V. J. 
PY  - 2014
SP  - 288-295
SN  - 0378-4266
DO  - 10.1016/j.jbankfin.2014.05.029
UR  - http://www.sciencedirect.com/science/article/pii/S0378426614001964
AB  - International equity markets linkages are characterized by nonlinear dependence and asymmetries. We investigate shifts in long run comovements in stock markets by means of an 'interrupted' Markov switching cointegration specification. This flexible approach allow us to study to what extent documented changes in global integration are permanent, or whether market linkages are subject to changes. Using an illustrative sample from 1980 to 2012 for USA, UK and Hong Kong stock price indices, we find evidence of interrupted cointegration across these markets between May 1997 and April 2002, which is consistent with the decoupling of stock prices from fundamentals during the dot-com bubble.
ER  -