Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/201893 
Year of Publication: 
2019
Series/Report no.: 
CESifo Working Paper No. 7667
Publisher: 
Center for Economic Studies and ifo Institute (CESifo), Munich
Abstract: 
This paper examines persistence, structural breaks and non-linearities in the case of five European stock market indices, namely the FTSE100 (UK), DAX30 (Germany), CAC40 (France), IBEX35 (Spain) and FTSE MIB40 (Italy), using fractional integration methods. The empirical results provide no evidence of non-linearities in either prices or returns; the former are found to exhibit unit roots and the latter to be I(0) in most cases. Further, between 2 and 4 structural breaks are found for each of the return series, and mean reversion in some subsamples.
Subjects: 
European stock markets
nonstationarity
unit roots
fractional integration
persistence
non-linearities
JEL: 
C22
C58
Document Type: 
Working Paper
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