Χρηματιστηριακοί κλάδοι εύρωστοι σε κρίσεις
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Keywords
Δείκτης S&P500 ; Κλαδικοί δείκτες ; Περίοδοι κρίσης ; Συσχέτιση ; S&P 500 ; Κρίση Covid-19 ; Συμπεριφορά δεικτών ; Sectors ; Indices ; Correlation ; Crisis ; Stock marketAbstract
This thesis investigates the behavior of the S&P500 industry indices during the recent global financial crises. Using daily data of the S&P500 indices, we examine both their correlations with the American market and also between them. The period under consideration concerns the time window of 1998 – 2020, including three crisis periods (2001: crisis of internet companies, 2007 – 09: global recession, 2020: Covid-19 pandemic crisis). We divide the sample into 8 subperiods, in order to better capture the crisis periods and effectively isolate them from the periods before and after the respective crises. By utilizing econometric analysis, we determine the relationship between the respective indicators. Through the analysis, we conclude that the correlations of the sectoral indices of the American market are usually moderate to strong in times of crisis. It is also noticed that as time progresses, the correlations increase. Globalization and market opening, are found to be the main reason for this outcome. Moreover, in order to estimate the sectoral fixed terms for each industry, we utilized the simple regression model. Based on the assumption that the S&P500 index gives zero performance, the second conclusion of the present thesis is that in periods of recovery the S&P500 Telecommunications Services index, gives higher performance than the rest indexes, while in times of crisis both the Financial Services and Industry indices are the most efficient.