Dynamic interdependence and volatility transmission among european stock markets
| dc.contributor.author | Λαγούρος, Παντελής | |
| dc.date.accessioned | 2009-10-22T08:43:55Z | |
| dc.date.available | 2009-10-22T08:43:55Z | |
| dc.date.issued | 2009-10-22T08:43:55Z | |
| dc.identifier.uri | https://dione.lib.unipi.gr/xmlui/handle/unipi/3263 | |
| dc.language.iso | el | |
| dc.rights | Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 4.0 Διεθνές | |
| dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/deed.el | |
| dc.subject | International economic integration | |
| dc.subject | International economic relations | |
| dc.subject | Stock price forecasting -- Mathematical models | |
| dc.subject | Finance -- Mathematical models | |
| dc.title | Dynamic interdependence and volatility transmission among european stock markets | |
| dc.type | Master Thesis | |
| europeana.isShownAt | https://dione.lib.unipi.gr/xmlui/handle/unipi/3263 | |
| europeana.type | IMAGE | |
| dc.identifier.call | 330.0151 ΛΑΓ | |
| dc.description.abstractEN | This study investigates the dynamic interdependence and volatility transmission among fourteen European stock markets (Austria, Belgium, Denmark, Germany, Greece, Ireland, Italy, Netherlands, Norway, Spain, Sweden, Switzerland, Turkey and U.K.), U.S. and Japan. We use monthly real returns for the sixteen equity markets from 1/2/1988 to 1/3/2009 (full sample), applying Granger causality tests in mean and in volatility. The data are sourced by DataStream and expressed in U.S. dollars. Causality tests in volatility are computed with two different methodologies. Firstly, we use the squared values of the real returns and then the absolute values of the real returns for the examined equity markets. We also separate the sample into two subperiods, one before the introduction of euro 1/2/1988 – 1/12/1998 (pre-euro period) and one after the introduction of euro 1/1/1999 – 1/3/2009 (post-euro period), so as to find out the changes in the linkages among those markets through time. |
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Τμήμα Χρηματοοικονομικής και Τραπεζικής Διοικητικής
Department of Banking & Financial Management
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Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 4.0 Διεθνές
Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 4.0 Διεθνές