Huang, Ying; Guo, Feng - In: Applied Financial Economics 18 (2008) 17, pp. 1391-1400
The article investigates to what extent various underlying macro (oil, supply, demand and portfolio) shocks impact the fluctuations of Japanese stock prices by developing a multivariate structural vector autoregression (SVAR) model. The results from a Markov regime-switching (MS) specification...