Nishiyama, Kazume - In: Managerial Finance 24 (1998) 4, pp. 30-55
Compares the aggregate stock returns of five countries in order to understand their behaviour, bearing in mind shocks and regime shifts. Applies a Markov‐switching model to examine discrete shifts in regime in equity markets from 1976 to 1991 in Germany, Japan, USA, United Kingdom and Canada....