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Detekce změn v panelových datech: Změna parametrů Fama-French modelu u vybraných evropských akcií v období finanční krize
[Detection of Changes in Panel Data: Change in Fama-French Model Parameters for Selected European Stocks During the Financial Crisis]

Author

Listed:
  • Jaromír Antoch
  • Jan Hanousek
  • Marie Hušková
  • Jiří Trešl

Abstract

This study identifies systemic break points in a factor pricing model for firms traded on European stock markets around the financial crisis. The aim is to shed light on the systemic risk transfer in explaining average stock returns in the fragmented European exchanges. Our analysis takes advantage of recent development in econometrics and employs models which enable "automatic" detection of factor model break points. We find that Western European exchanges are more closely integrated with American financial markets than Northern European stock exchanges and those in the United Kingdom. However, all exchanges were eventually affected by the systemic shock. The results of this study provide insight into immunisation strategies for portfolios created from European stocks.

Suggested Citation

  • Jaromír Antoch & Jan Hanousek & Marie Hušková & Jiří Trešl, 2019. "Detekce změn v panelových datech: Změna parametrů Fama-French modelu u vybraných evropských akcií v období finanční krize [Detection of Changes in Panel Data: Change in Fama-French Model Parameters," Politická ekonomie, Prague University of Economics and Business, vol. 2019(1), pages 3-19.
    • Handle: RePEc:prg:jnlpol:v:2019:y:2019:i:1:id:1233:p:3-19
    DOI: 10.18267/j.polek.1233
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    References listed on IDEAS

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    More about this item

    Keywords

    asset pricing; change point detection; Fama-French four-factor model; sum-type test statistics; panel data;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • G01 - Financial Economics - - General - - - Financial Crises
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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