Διερεύνηση αποδόσεων τραπεζικών μετοχών
Φράγκος, Παναγιώτης - Βασίλειος
KeywordsΑγορές χρήματος και κεφαλαίου ; Τραπεζικό σύστημα ; Εποπτεία ; Αποτελεσματικές αγορές ; Έλεγχος αιτιότητας κατά Granger ; Capital assets pricing model ; Money market ; Capital market ; Banking system ; Supervising ; Efficient markets ; Granger causality
This dissertation deals with money and capital markets. More particularly, money market elements are presented with focus on banking system, banking risks and supervising. Moreover, capital markets elements are presented concerning primary and secondary markets with focus on efficient markets. Empirical part deals with capital assets pricing model estimation for several big European markets along with Granger causality relationship. A finding for northern Europe banks (Germany, France, UK) and for Spanish bank was a high systematic risk along with aggressive stocks. On the contrary, for banks in Italy and Greece systematic risk was found low along with defensive stocks. It was also found that beta coefficients are stable for the examining period (2011-2016), while stock returns are heteroscedastic and leptokurtic, as it happens in stock returns in general. Furthermore, it was also found that in northern Europe banks are not Granger affect with market returns, while for southern Europe banks returns are Granger affect each other with market returns. In Greece, it was found that only National Bank returns are Granger affected by market returns.