Unveiling Dynamics of Structural Breaks in Global Stock Markets and Implications for Forecasting Accuracy
subject: Chow test; CUSUM squares; global stock markets; market dynamics; Structural breaks
description: This research investigates structural breaks in global stock markets, employing the Chow test on major indices from January 2013 to November 2023. Results reveal significant breaks in NYSE (November 2020) linked to the US election and positive vaccine trials, Nasdaq (May 2020) amidst global concerns over COVID-19, and Euronext 100 (February 2021), suggesting market shifts. Notably, Shanghai Stock Exchange experienced a robust break in December 2014, contrasting with SZSE's non-significant break. HKEX experiences a significant shift in June 2020, possibly influenced by US regulatory policies and COVID-19. The Nifty index shows a profound break in December 2020, correlated with pandemic severity. LSE Group evidences a break in July 2019, while the Saudi Exchange shows non-significant evidence in March 2021. The study underscores the importance of considering structural breaks for accurate market forecasting and decision-making. Descriptive statistics provide insights into market characteristics. The methodology integrates the Chow test and CUSUM squares for break detection. Findings contribute to understanding global market dynamics and emphasize the impact of external events on structural stability. The Author(s), under exclusive license to Springer Nature Switzerland AG 2025.
creator: Shashidhar Yadav, J.; Mutyala, Subramanyam; Saiprasad, D.; Devananda, H.M.; Jagadeesha, G.T.
source: Communications in Computer and Information Science;Volume;2368 CCIS;pp.339-348
publisher: Springer Science and Business Media Deutschland GmbH
date: 01-01-2025
rights: Restricted Access; Hardcopy may be available in the library
relation: ISSN: 18650929; ISBN: 978-303181335-1;
language: English
type: Conference paper
coverage: Shashidhar Yadav J., School of Business and Management, Christ University, Karnataka, Bengaluru, India; Mutyala S., Department of Management School of Commerce and Management, Mohan Babu University, Andhra Pradesh, Tirupati, India; Saiprasad D., Department of Commerce, Government First Grade College, Karnataka, Thyamagondlu, India; Devananda H.M., Department of Management, Adichunchanagiri Institute of Technology, Karnataka, Chikkamagaluru, India; Jagadeesha G.T., Department of Commerce, Seshadripuram College, Karnataka, Tumakuru, India