Non-parametric multiple change point analysis of the global financial crisis

David E. Allen, Michael McAleer, Robert J. Powell, Abhay K. Singh

Research output: Contribution to journalArticleResearchpeer-review

Abstract

This paper presents an application of a recently developed approach by Matteson and James (2014) for the analysis of change points in a dataset, namely major financial market indices converted to financial return series. The general problem concerns the inference of a change in the distribution of a set of time-ordered variables. The approach involves the non-parametric estimation of both the number of change points and the positions at which they occur. The approach is general and does not involve assumptions about the nature of the distributions involved or the type of change beyond the assumption of the existence of the α absolute moment, for some α∈(0,2). The estimation procedure is based on hierarchical clustering and the application of both divisive and agglomerative algorithms. The method is used to evaluate the impact of the Global Financial Crisis (GFC) on the US, French, German, UK, Japanese and Chinese markets, as represented by the SP500, CAC, DAX, FTSE All Share, Nikkei 225 and Shanghai A share Indices, respectively, from 2003 to 2013. The approach is used to explore the timing and the number of change points in the datasets corresponding to the GFC and subsequent European Debt Crisis.
LanguageEnglish
Article number1850008
Pages1-23
Number of pages23
JournalAnnals of Financial Economics
Volume13
Issue number2
DOIs
Publication statusPublished - Jun 2018

Fingerprint

Change point
Global financial crisis
Debt crisis
Chinese market
Financial markets
Inference
Hierarchical clustering
Market index
Shanghai
Nonparametric estimation
Financial returns

Keywords

  • Non-parametric analysis
  • multiple change points
  • cluster analysis
  • global financial crisis

Cite this

Allen, David E. ; McAleer, Michael ; Powell, Robert J. ; Singh, Abhay K. / Non-parametric multiple change point analysis of the global financial crisis. In: Annals of Financial Economics. 2018 ; Vol. 13, No. 2. pp. 1-23.
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Non-parametric multiple change point analysis of the global financial crisis. / Allen, David E.; McAleer, Michael; Powell, Robert J.; Singh, Abhay K.

In: Annals of Financial Economics, Vol. 13, No. 2, 1850008, 06.2018, p. 1-23.

Research output: Contribution to journalArticleResearchpeer-review

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