{"id":122262,"date":"2024-01-23T07:43:09","date_gmt":"2024-01-23T06:43:09","guid":{"rendered":"https:\/\/www.wifo.ac.at\/publication\/122262\/"},"modified":"2025-10-22T22:04:48","modified_gmt":"2025-10-22T20:04:48","slug":"regime-dependent-dynamics-and-european-stock-markets-is-asset-allocation-really-possible","status":"publish","type":"publication","link":"https:\/\/www.wifo.ac.at\/en\/publication\/122262\/","title":{"rendered":"Regime dependent dynamics and European stock markets: Is asset allocation really possible?"},"content":{"rendered":"","protected":false},"featured_media":0,"template":"","class_list":["post-122262","publication","type-publication","status-publish","hentry"],"acf":{"subtitle":"","text":"In this study, we examine the regime shifts and volatility in stock market returns of 18 European stock markets and the USA and utilise these regimes in asset allocation and risk management contexts. Using a Markov regime switching model, the study finds strong evidence of regime switching characterised by two regimes over the sample period from February 1996 to January 2012. Smoothed probabilities and time-varying conditional volatilities also highlight the meaningful turning points including the recent global financial crisis (2008) and Euro area crisis (2009). Analysing the market synchronisation and Sharpe ratios, the study finally concludes that sample markets provide very limited scope of asset allocation and risk diversification.","onlinedate":"2015-04-28 12:00:00","lang":"English","publication_series":"","publication_date":"20150201","publication_date_year":"","publication_date_full":false,"publication_num_pages":"","keywords":"[]","jelcodes":"[]","related_publications":"[]","pdf":null,"zip":null,"link":"http:\/\/www.springer.com\/10663","monthly_report":false,"monthly_report_main":false,"monthly_report_volume":"42","monthly_report_pages":"77-108","monthly_report_pages_sort":"77","issue":"1","journal":"Empirica","publisher":"","invisible":false,"external":true,"embargo_date":"2015-04-28 12:00:00","types":[83083],"research_groups":[3500],"collaboration":"","persons":[13799,13803,13805],"persons_data":"[{\"personId\":13799,\"personName\":\"Wasim Ahmad\",\"organisationNames\":[]},{\"personId\":13803,\"personName\":\"N. R. Bhanumurthy\",\"organisationNames\":[]},{\"personId\":13805,\"personName\":\"Sanjay Sehgal\",\"organisationNames\":[]}]","clients":[],"subclients":[],"partners":[],"topics":[],"host_publication_title":"","host_publication_subtitle":"","place_of_publication":"","host_publication_editors":"[]","type_description":"","output_media":"","chapter":"","article_number":"","scientific_assistance":"[]","scientific_review":"[]","version":"","release_date":null,"expiration_date":null,"surveyor":"","research_assistance":"","edv":"","additional_info_de":"","additional_info_en":""},"yoast_head":"<!-- This site is optimized with the Yoast SEO Premium plugin v27.3 (Yoast SEO v27.3) - https:\/\/yoast.com\/product\/yoast-seo-premium-wordpress\/ -->\n<title>Regime dependent dynamics and European stock markets: Is asset allocation really possible? - WIFO<\/title>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/www.wifo.ac.at\/en\/publication\/122262\/\" \/>\n<meta property=\"og:locale\" content=\"en_US\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"Regime dependent dynamics and European stock markets: Is asset allocation really possible?\" \/>\n<meta property=\"og:url\" content=\"https:\/\/www.wifo.ac.at\/en\/publication\/122262\/\" \/>\n<meta property=\"og:site_name\" content=\"WIFO\" \/>\n<meta property=\"article:publisher\" content=\"https:\/\/www.facebook.com\/WIFOat\/\" \/>\n<meta property=\"article:modified_time\" content=\"2025-10-22T20:04:48+00:00\" \/>\n<meta property=\"og:image\" content=\"https:\/\/www.wifo.ac.at\/wp-content\/uploads\/2024\/05\/WIFO-Gebaeude-FotoAlexanderMueller-www.alexandermueller.at-IMG_6326-Bearbeitet-1.jpg\" \/>\n\t<meta property=\"og:image:width\" content=\"1920\" \/>\n\t<meta property=\"og:image:height\" content=\"1280\" \/>\n\t<meta property=\"og:image:type\" content=\"image\/jpeg\" \/>\n<meta name=\"twitter:card\" content=\"summary_large_image\" \/>\n<meta name=\"twitter:site\" content=\"@WIFOat\" \/>\n<script type=\"application\/ld+json\" class=\"yoast-schema-graph\">{\"@context\":\"https:\\\/\\\/schema.org\",\"@graph\":[{\"@type\":\"WebPage\",\"@id\":\"https:\\\/\\\/www.wifo.ac.at\\\/en\\\/publication\\\/122262\\\/\",\"url\":\"https:\\\/\\\/www.wifo.ac.at\\\/en\\\/publication\\\/122262\\\/\",\"name\":\"Regime dependent dynamics and European stock markets: Is asset allocation really possible? 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