Modeling Turning Points In Global Equity Market

18 Pages Posted: 11 Nov 2020

See all articles by Daniel Felix Ahelegbey

Daniel Felix Ahelegbey

University of Pavia, Department of Economics and Management; Boston University, Department of Mathematics & Statistics

Monica Billio

Ca Foscari University of Venice - Dipartimento di Economia

Roberto Casarin

University Ca' Foscari of Venice - Department of Economics

Date Written: November 10, 2020

Abstract

Turning points in financial markets are often characterized by changes in the direction and/or magnitude of market movements with short-to-long term impacts on investors' decisions. This paper develops a Bayesian technique to turning point detection in financial equity markets. We derive the interconnectedness among stock market returns from a piece-wise network vector autoregressive model. The empirical application examines turning points in global equity market over the past two decades. We also compare the COVID-19 induced interconnectedness with that of the global financial crisis in 2008 to identify similarities and the most central market for spillover propagation.

Keywords: Bayesian inference, Dynamic Programming, Financial Crisis, Turning points, Networks, VAR

JEL Classification: C11, C15, C51, C52, C55, C58, G01

Suggested Citation

Ahelegbey, Daniel Felix and Billio, Monica and Casarin, Roberto, Modeling Turning Points In Global Equity Market (November 10, 2020). Available at SSRN: https://ssrn.com/abstract=3727784 or http://dx.doi.org/10.2139/ssrn.3727784

Daniel Felix Ahelegbey (Contact Author)

University of Pavia, Department of Economics and Management ( email )

Via San Felice 7
Pavia, Lombardia 27100
Italy
+393888931128 (Phone)

HOME PAGE: http://sites.google.com/site/danielfelixahey/home

Boston University, Department of Mathematics & Statistics ( email )

111 Cummington Mall
Boston, MA 02215
United States

Monica Billio

Ca Foscari University of Venice - Dipartimento di Economia ( email )

Cannaregio 873
Venice, 30121
Italy

HOME PAGE: http://www.unive.it/persone/billio

Roberto Casarin

University Ca' Foscari of Venice - Department of Economics ( email )

San Giobbe 873/b
Venice, 30121
Italy
+39 030.298.91.49 (Phone)
+39 030.298.88.37 (Fax)

HOME PAGE: http://sites.google.com/view/robertocasarin

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