Μελέτη αποδόσεων των χρηματιστηριακών δεικτών και αποδόσεων των ομολόγων σε οκτώ ευρωπαϊκά κράτη πριν και μετά την κρίση
Study of stock indices returns and bonds returns in eight european countries before and after crisis
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Keywords
Χρηματοπιστωτικό σύστημα ; Ομόλογα ; Κρίση ; Δείκτες χρηματιστηρίουAbstract
The purpose of this study is to investigate the yields of stock indices in relation to the bond yields of eight European countries. These States are divided into two categories, one category corresponding to the States that were not so affected by the financial crisis and the second category with the States that suffered the greatest recession. Time series are used for each country where they are divided into two periods 2009 and 2011. The estimation of the regression is done with the least squares methodology after the stationary test has been performed for each variable. In order for the variables to be stationary the study focused on the study of the returns of the variables and not on their values. The variables as mentioned are time series for the periods 2009 and 2011 on a daily basis.
The most important conclusion that emerges from the regression estimates for each country is that there is a negative relationship between stock indices and bonds. It seems the same effect even for the countries that have suffered the greatest economic downturn. Also, for all states it is noticed that there is more interpretive ability in the model in the second period. This may be because the countries had already entered the financial crisis and were trying to get out of it.