Title: A Euro area stock market model with betas dependent on the financial markets cycle
Author: José Soares Da Fonseca
Address: Faculty of Economics, University of Coimbra, Av. Dias da Silva 165, 3004-512 Coimbra, Portugal
Abstract: This paper estimates market models for the Euro area stock markets of France, Germany, Holland, Italy and Spain, with beta parameters dependent on the financial cycle phases. These models support the calculation of time-varying Treynor ratios, which compare the performance of these domestic markets across different phases of the financial cycle in the Euro area stock markets.
Keywords: Euro zone; stock market models; financial markets; financial cycles; time-varying beta parameters; Treynor ratios; modelling; France; Germany; Holland; Italy; Spain; stock markets.
Int. J. of Monetary Economics and Finance, 2013 Vol.6, No.4, pp.302 - 308
Date of acceptance: 30 Oct 2013
Available online: 21 Mar 2014