Has the Greek crisis affected the return-volatility relation in the stock market?
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Keywords
Greece ; Greek crisis ; Return ; Volatility ; ATHEX ; Athens Stock Exchange Market ; FTSE ; FTSE/ATHEX Large CapAbstract
This thesis is trying to research if the Greek Crisis affected the return-volatility relation in the stock market. Using a multiple regression between the stocks’ returns, the market’s return and the stocks’ volatilities, this thesis investigates if there is any linear relation between the above variables. For such a reason, there were used the stock returns of the 24 biggest companies of the Athens Stock Exchange Market, which constitute the FTSE/Athex Large Cap index. The historic data cover a period of 22 years, beginning from January 1998 until August 2019. In order to conclude if the Greek Crisis affected the return-volatility relation in the stock market, the sample was processed in the whole period, as well as in two smaller periods with the emergence of the Greek Crisis to be the critical point. It is concluded that the values of the beta coefficients of the Market Return and the coefficient factors of Volatility are statistically significant, which means that indeed the Market is affected from both factors and specific conclusions can be made. It is also concluded that the Market is affected more from the beta coefficients of the Market Returns (β), than the coefficient factors of the Volatility (γ). Finally, from the assessment of the Chow tests, it is concluded that these variables in most of the stocks can be studied in the whole period, since the Greek Crisis, which is the breakpoint, does not divide the sample, as the return-volatility relation is not affected.
Postgraduate Studies Programme
Χρηματοοικονομική και Τραπεζική με κατεύθυνση στην Χρηματοοικονομική Ανάλυση για ΣτελέχηDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Χρηματοοικονομικής και Τραπεζικής ΔιοικητικήςNumber of pages
218Language
English
Except where otherwise noted, this item's license is described as
Αναφορά Δημιουργού 3.0 Ελλάδα
Αναφορά Δημιουργού 3.0 Ελλάδα