Διερεύνηση του βαθμού εξάρτησης της ελληνικής κεφαλαιαγοράς από τις μεγάλες κεφαλαιαγορές του εξωτερικού
Investigation of the degree of dependence of the greek capital maket from the large foreign capital markets
Καλλιγοσφύρης, Χαράλαμπος Ε.
SubjectΚεφαλαιαγορά -- Ελλάδα -- Στατιστικές μέθοδοι ; Κεφαλαιαγορά -- Ευρώπη ; Capital market -- Europe ; Capital market -- Greece -- Statistical methods
This dissertation investigates the degree of dependence of the Greek Capital Market to the large foreign ones, by using contemporary econometric methods of time series analysis. Specifically by using Vector Autoregressive models (VAR models) and the method of cointegration, developed by Engle-Granger and Johansen-Juselious, the investigation of the causal relations among the Capital Markets and the degree of comovement in the Greek Market with the foreign developed markets abroad, is being attempted. The results that were found indicate large scale relations among the markets being examined, which restrict the potential benefits from an international portfolio diversification. In addition, the survey indicated that the domestic market is influenced to a great extent by the movements of the USA. Germany, Italy, Spain and Belgium markets, whereas this market (The Greek Market) cannot "explain" the others markets' behavior, furthermore, our analysis reveals the dominance of the American Market in a worldwide level as a source of information and variability, whereas in a European level the evident advocates "for" the dominance of the German market. Ultimately, the impulse responses analysis of the financial markets to innovations in other markets proves the validity of the Efficient Market Hypothesis, which is a consequence of the fact that the effect from a shock in another market is completed in one day, not permitting the acquisition of upnormal returns.