Politická ekonomie 2019, 67(1):3-19 | DOI: 10.18267/j.polek.1233

Detekce změn v panelových datech: Změna parametrů Fama-French modelu u vybraných evropských akcií v období finanční krize

Jaromír Antoch1, Jan Hanousek2, Marie Hušková1, Jiří Trešl3
1 MFF UK, Praha
2 CERGE-EI, společné pracoviště UK v Praze a NHÚ AV ČR, v.v.i., a CEPR, London
3 Central Michigan University, Mount Pleasant, MI 48859; CERGE-EI, společné pracoviště UK v Praze a NHÚ AV ČR, v.v.i.

Detection of Changes in Panel Data: Change in Fama-French Model Parameters for Selected European Stocks During the Financial Crisis

This study identifies systemic break points in a factor pricing model for firms traded on European stock markets around the financial crisis. The aim is to shed light on the systemic risk transfer in explaining average stock returns in the fragmented European exchanges. Our analysis takes advantage of recent development in econometrics and employs models which enable "automatic" detection of factor model break points. We find that Western European exchanges are more closely integrated with American financial markets than Northern European stock exchanges and those in the United Kingdom. However, all exchanges were eventually affected by the systemic shock. The results of this study provide insight into immunisation strategies for portfolios created from European stocks.

Keywords: asset pricing, change point detection; Fama-French four-factor model; sum-type test statistics; panel data
JEL classification: C10, C23, G01, G11, G12

Received: November 24, 2017; Accepted: September 26, 2018; Published: February 1, 2019  Show citation

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Antoch, J., Hanousek, J., Hušková, M., & Trešl, J. (2019). Detection of Changes in Panel Data: Change in Fama-French Model Parameters for Selected European Stocks During the Financial Crisis. Politická ekonomie, 67(1), 3-19. doi: 10.18267/j.polek.1233
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