Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/187749
Authors: 
Princ, Michael
Year of Publication: 
2016
Citation: 
[Journal:] European Financial and Accounting Journal [ISSN:] 1805-4846 [Volume:] 11 [Year:] 2016 [Issue:] 3 [Pages:] 125-138
Abstract: 
The estimation of multiple structural break models is usually associated with identification of spurious break points, which are identified by universal algorithms. This leads to overvaluation of structural distress in financial markets represented by data series. The paper is focused on an estimation of the new index, which incorporates results of Student, Bartlett, GLR, Mann-Whitney, Mood, Lepage, Kolmogorov-Smirnov and finally Cramer-von-Mises tests statistics together. The new measure is named Structural Distress Index and evaluates a probability of structural break occurrence based on estimations of proposed models. SDI values show that Czech and Polish stock markets went through more instable period in 1990s than at the beginning of the global financial crisis in 2007. SDI measure is straightforward and can be easily explained, the highest values of SDI can identify the most important break points of the research period, which starts in year 1993 and ends in year 2014. Universality of SDI offers its further extension and application to further research of financial markets.
Subjects: 
Aggregation
Central Europe
Stability
Stock markets
Structural break analysis
JEL: 
C13
C51
G14
G15
Persistent Identifier of the first edition: 
Document Type: 
Article

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.