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Journal of Economics and Finance

, Volume 28, Issue 2, pp 155–163 | Cite as

Dating structural changes: An illustration from financial deregulation

  • Duane B. Graddy
  • Reuben Kyle
  • Thomas H. Strickland
  • David Bass
Article
  • 44 Downloads

Abstract

Recent developments in econometrics emphasize the importance of testing for structural breaks in time series analysis. The typical event study of financial economics examines abnormal stock market returns around arbitrarily established dates. The paper has two objectives. The first aim is to present an application of the switching regression methodology to date structural changes in the return-generating function of financial firms. The second objective is to assess the effectiveness of the conventional event methodology in dating regime shifts associated with regulatory changes in the financial services industry. (JEL C52, G21)

Keywords

Interest Rate Stock Return Abnormal Return Event Window Switching Regression 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer 2004

Authors and Affiliations

  • Duane B. Graddy
    • 1
  • Reuben Kyle
    • 1
  • Thomas H. Strickland
    • 1
  • David Bass
    • 2
  1. 1.Department of Economics and FinanceMiddle Tennessee State UniversityMurfreesboro
  2. 2.Kendle International, IncCincinnatiUSA

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