A Euro area stock market model with betas dependent on the financial markets cycle. (24th March 2014)

• Record Type: Journal Article
• Authors: Fonseca, José Soares Da
• Is Part Of: International journal of monetary economics and finance. Volume 6:Number 4(2013)
• Page Start: 302
• Page End: 308
• Publication Date: 2014-03-24
• Subjects: Euro zone -- stock market models -- financial markets -- financial cycles -- time–varying beta parameters -- Treynor ratios -- modelling -- France -- Germany -- Holland -- Italy -- Spain -- stock markets; Monetary policy -- Periodicals; Finance -- Periodicals; Economics -- Mathematical models -- Periodicals; 332.4
• Languages: English
• ISSNs: 1752-0479

Abstract

This paper estimates market models for the Euro area stock markets of France, Germany, Holland, Italy and Spain, with beta parameters dependent on the financial cycle phases. These models support the calculation of time–varying Treynor ratios, which compare the performance of these domestic markets across different phases of the financial cycle in the Euro area stock markets.