Abstract:

This article focuses on the use of regime switching models as business decision support systems for portfolio investment in emerging stock markets employing Gauss software package. In order to minimize the modelling risk associated with management information systems, the problem upon which the mentioned decision support system is implemented should be clearly defined and the relevant model should be correctly chosen. Using Gauss software program, applied econometric tests results show that, excluding Ukraine, emerging economies equity markets accommodate persistently higher volatility when compared to US equity markets between 09/01/2004 and 13/09/2007. In this scope, stock market regime shifts analysed econometrically comparative in Turkey, Russia, Ukraine, Brazil, Lebanon, U.S.A. (Dow Jones Industrial Average) and MSCI (Morgan Stanley Composite Index).

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