Μετάδοση διακύμανσης ανάμεσα στους χρηματιστηριακούς δείκτες της ευρωζώνης λαμβάνοντας υπόψη τις ασυμμετρίες των αποδόσεων
Τσαρούχας, Μενέλαος Γ.
The purpose of this thesis is to examine the existence of volatility spillovers between the euro area stock markets and whether this transmission increased with the introduction of the euro and led to a most unified economic market. The analysis is based on a bivariate VAR(1)-GARCH(1,1) model. We split the sample in two periods, the pre-Euro period («Pre-2001») and the after-Euro period («Post-2001»). We also considered France and Germany as the benchmark countries since they are the more powerful of the euro area countries, as far as Gross Domestic Product (GDP) is concerned. More in detail, we aimed at discovering the degree of influence of a country to the remaining countries and in this respect to check whether financial convergence was achieved. Our results suggest that there is significant volatility transmission between the euro area stock markets. When Germany is considered as the benchmark country a small reduction is observed in the «Post-2001» sample compared with the «Pre-2001» sample. On the contrary, in the case of France, we notice an increase in the diffusion of volatility between the euro area markets in the more recent period compared with the «Pre-2001» sample.