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

doi: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

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

Research output: Chapter in Book/Report/Conference proceeding › Chapter

2 Citations (Scopus)

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.

Original language	English
Title of host publication	Handbook of Asian finance
Subtitle of host publication	REITs, trading, and fund performance
Editors	David Lee Kuo Chuen, Greg N. Gregoriou
Place of Publication	San Diego, CA
Publisher	Elsevier
Chapter	15
Pages	267-284
Number of pages	18
Volume	2
ISBN (Electronic)	9780128010631
ISBN (Print)	9780128009864
DOIs	https://doi.org/10.1016/B978-0-12-800986-4.00015-7
Publication status	Published - 2014
Externally published	Yes

Keywords

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

Access to Document

10.1016/B978-0-12-800986-4.00015-7

Link to publication in Scopus

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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

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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 proceeding › Chapter

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