Template-type: ReDIF-Paper 1.0
Author-Name: David E. Allen
Author-Email: d.allen@ecu.edu.au
Author-Person: pal66
Author-Workplace-Name: School of Accounting, Finance and Economics Edith Cowan University, Australia.
Author-Name: Michael McAleer
Author-Person: pmc90 
Author-Workplace-Name: Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam and Tinbergen Institute,
	The Netherlands, Department of Quantitative Economics, Complutense University of Madrid, and Institute of
	Economic Research, Kyoto University. 
Author-Name: Robert J. Powell 
Author-Workplace-Name: School of Accounting, Finance and Economics, Edith Cowan University
Author-Name: Abhay K. Singh
Author-Workplace-Name: School of Accounting, Finance and Economics, Edith Cowan University
Title: Nonparametric Multiple Change Point Analysis of the Global Financial Crisis
Abstract: This paper presents an application of a recently developed approach by Matteson and James (2012) for 
	the analysis of change points in a data set, namely major financial market indices converted to financial 
	return series. The general problem concerns the inference of a change in the distribution of a set of 
	time-ordered variables. The approach involves the nonparametric estimation of both the number of 
	change points and the positions at which they occur. The approach is general and does not involve 
	assumptions about the nature of the distributions involved or the type of change beyond the assumption 
	of the existence of the absolute moment, for some 2 (0; 2). The estimation procedure is based on 
	hierarchical clustering and the application of both divisive and agglomerative algorithms. The method 
	is used to evaluate the impact of the Global Financial Crisis (GFC) on the US, French, German, UK, 
	Japanese and Chinese markets, as represented by the S&P500, CAC, DAX, FTSE All Share, Nikkei 225 
	and Shanghai A share Indices, respectively, from 2003 to 2013. The approach is used to explore the 
	timing and number of change points in the datasets corresponding to the GFC and subsequent European 
	Debt Crisis.
Classification-JEL: G11, C02.

Keywords: Nonparametric Analysis, Multiple Change Points, Cluster Analysis, Global Financial.
Length: 14 pages 
Creation-Date: 2013 
Number: 2013-17 
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1317.txt
File-URL: https://eprints.ucm.es/id/eprint/21559/1/1317.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1317