Wasim, Ahmad and Bandi, Kamaiah (2011): Identifying regime shifts in Indian stock market: A Markov switching approach.
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Seeking for the existence of bull and bear regimes in the Indian stock market, a two state Markov switching autoregressive model (MS (2)-AR (2)) is used to identify bull and bear market regimes. The model predicts that Indian stock market will remain under bull regime with very high probability compared to bear regime. The results also identify the bear phases during all major global economic crises including recent US sub-prime (2008) and European debt crisis (2010). The paper concludes that the Indian stock market is more sensitive to external shocks implying that there is ample scope of policy interventions.
|Item Type:||MPRA Paper|
|Original Title:||Identifying regime shifts in Indian stock market: A Markov switching approach|
|Keywords:||Markov switching model, Stock returns, Regime shifts|
|Subjects:||C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C51 - Model Construction and Estimation
|Depositing User:||Wasim Ahmad|
|Date Deposited:||08. Mar 2012 00:45|
|Last Modified:||08. Sep 2015 11:35|
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