Nonparametric multiple change-point analysis of the responses of Asian markets to the Global Financial Crisis

David E. Allen, Petko S. Kalev, Michael J. McAleer, Abhay K. Singh

Research output: Chapter in Book/Report/Conference proceedingChapterResearchpeer-review

Abstract

This analysis presents an application of a recently developed approach by Matteson and James (2012) for the analysis of change points in time-series data; in this case financial market indices converted to financial return series. The method involves the nonparametric estimation of both the number of change points and the positions at which they occur without making assumptions about the nature of the distributions involved. The procedure is used to explore the timing and number of change points in the data sets corresponding to the effects of the GFC and subsequent European Debt Crisis and their impact on daily market index return series for the Japanese, Chinese, Malaysian, Singaporean, and Indonesian markets from 2003 to 2013.
LanguageEnglish
Title of host publicationHandbook of Asian finance
Subtitle of host publicationREITs, trading, and fund performance
EditorsDavid Lee Kuo Chuen, Greg N. Gregoriou
Place of PublicationSan Diego, CA
PublisherElsevier
Chapter15
Pages267-284
Number of pages18
Volume2
ISBN (Electronic)9780128010631
ISBN (Print)9780128009864
DOIs
Publication statusPublished - 2014
Externally publishedYes

Fingerprint

Asia
Change point
Global financial crisis
Market index
Debt crisis
Financial returns
Time series data
Financial markets
Nonparametric estimation

Keywords

  • Asian markets
  • Change point analysis
  • Global Financial Crisis
  • Non-parametric
  • Timing

Cite this

Allen, D. E., Kalev, P. S., McAleer, M. J., & Singh, A. K. (2014). Nonparametric multiple change-point analysis of the responses of Asian markets to the Global Financial Crisis. In D. L. K. Chuen, & G. N. Gregoriou (Eds.), Handbook of Asian finance: REITs, trading, and fund performance (Vol. 2, pp. 267-284). San Diego, CA: Elsevier. https://doi.org/10.1016/B978-0-12-800986-4.00015-7
Allen, David E. ; Kalev, Petko S. ; McAleer, Michael J. ; Singh, Abhay K. / Nonparametric multiple change-point analysis of the responses of Asian markets to the Global Financial Crisis. Handbook of Asian finance: REITs, trading, and fund performance. editor / David Lee Kuo Chuen ; Greg N. Gregoriou. Vol. 2 San Diego, CA : Elsevier, 2014. pp. 267-284
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Allen, DE, Kalev, PS, McAleer, MJ & Singh, AK 2014, Nonparametric multiple change-point analysis of the responses of Asian markets to the Global Financial Crisis. in DLK Chuen & GN Gregoriou (eds), Handbook of Asian finance: REITs, trading, and fund performance. vol. 2, Elsevier, San Diego, CA, pp. 267-284. https://doi.org/10.1016/B978-0-12-800986-4.00015-7

Nonparametric multiple change-point analysis of the responses of Asian markets to the Global Financial Crisis. / Allen, David E.; Kalev, Petko S.; McAleer, Michael J.; Singh, Abhay K.

Handbook of Asian finance: REITs, trading, and fund performance. ed. / David Lee Kuo Chuen; Greg N. Gregoriou. Vol. 2 San Diego, CA : Elsevier, 2014. p. 267-284.

Research output: Chapter in Book/Report/Conference proceedingChapterResearchpeer-review

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Allen DE, Kalev PS, McAleer MJ, Singh AK. Nonparametric multiple change-point analysis of the responses of Asian markets to the Global Financial Crisis. In Chuen DLK, Gregoriou GN, editors, Handbook of Asian finance: REITs, trading, and fund performance. Vol. 2. San Diego, CA: Elsevier. 2014. p. 267-284 https://doi.org/10.1016/B978-0-12-800986-4.00015-7