Η αντανάκλαση σημαντικών οικονομικών και κοινωνικοπολιτικών γεγονότων στη χρηματιστηριακή αγορά : οι περιπτώσεις Ελλάδος και ΗΠΑ
The reaction of stock markets to economic and sociopolitical events in Greece and USA
SubjectΧρηματιστήρια αξιών ; Χρηματαγορά ; Χρηματιστήρια -- Ελλάδα ; Χρηματιστήρια -- Ηνωμένες Πολιτείες Αμερικής
The current thesis aims to identify the main factors that affect volatility of indexes at Athens Stock Exchange and Dow Jones. To this end, a sample of the most important economic and sociopolitical events of the last 15 years are selected to examine the reaction of those stock markets. For the measurement of volatility, four basic estimators are used including standard deviation of returns and three more alternative estimators which utilize daily high, low and close prices suggested by relevant studies. Measurement of volatility is processed one month before and one month after the event in order to examine the impact of the event in the volatility figure. Conclusions: • Results reveal that volatility is connected with political uncertainty and political risk and important economic events have an important impact on volatility. • The last five years the volatility of Athens stock Exchange is increased due to important political and economic events. • Estimators used for the measurement of volatility gives different results but conclusions are the same as they follow the same pattern. • Dow Jones is not affected by presidential elections and typhoons.