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Regime switching in stock index and futures markets: a note on the NIKKEI evidence

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  • Angelos Kanas

Abstract

Using a time-varying regime-switching vector error correction approach, we find strong evidence that the NIKKEI stock index cash and futures prices are jointly characterized by regime switching, which is time-varying and dependent upon the basis, the interest rate, the volatility of the cash index, and the US futures market. Copyright © 2009 John Wiley & Sons, Ltd.

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  • Angelos Kanas, 2009. "Regime switching in stock index and futures markets: a note on the NIKKEI evidence," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(4), pages 394-399.
    • Handle: RePEc:ijf:ijfiec:v:14:y:2009:i:4:p:394-399
    DOI: 10.1002/ijfe.390
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