The frequency of crashes and the magnitude of crises in international financial markets are growing more severe over time. Recent financial crises are not singular events portrayed in recent accounts, rather, they erupt in circumstances that are very similar to the economic and financial environments of the earlier eras. This paper analyzes the Italian stock market in two very peculiar periods (1901-1911 and 1993-2004): the "Second" and the "Third industrial revolution". We use Markov Switching Models to test whether the Italian stock market volatility has increased in the long run and whether it can be represented by different regimes. We find that volatility regimes exist; that Banking sector has a central role and "New economy" sectors perform quite well while traditional sectors do not, in both periods
Regime Switching: Italian Financial Markets over a Century / M.Velucchi. - In: STATISTICAL METHODS & APPLICATIONS. - ISSN 1618-2510. - STAMPA. - 18:(2009), pp. 67-86. [10.1007/s10260-007-0075-3]
Regime Switching: Italian Financial Markets over a Century
VELUCCHI, MARGHERITA
2009
Abstract
The frequency of crashes and the magnitude of crises in international financial markets are growing more severe over time. Recent financial crises are not singular events portrayed in recent accounts, rather, they erupt in circumstances that are very similar to the economic and financial environments of the earlier eras. This paper analyzes the Italian stock market in two very peculiar periods (1901-1911 and 1993-2004): the "Second" and the "Third industrial revolution". We use Markov Switching Models to test whether the Italian stock market volatility has increased in the long run and whether it can be represented by different regimes. We find that volatility regimes exist; that Banking sector has a central role and "New economy" sectors perform quite well while traditional sectors do not, in both periodsI documenti in FLORE sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.