Estimating heterogeneous agents behavior in a two-market financial system

• Main Authors: Chen, Zhenxi, Huang, Weihong, Zheng, Huanhuan
• Other Authors: School of Social Sciences
• Format: Article
• Language: English
• Published: 2020
• Subjects: Social sciences::Economic development; Cross-correlation; Co-movement
• Online Access: https://hdl.handle.net/10356/139517
• Institution: Nanyang Technological University

In this paper, we propose a two-market empirical model with heterogeneous agents based on Chiarella et al. (J Econ Behav Organ 83(3):446–460, 2012). Using monthly data of French and US stock markets, the regression shows that individual markets have features of a two-regime switching process. By inc...