Ανάλυση σχέσεων αιτιότητας στις διεθνείς χρηματαγορές

Σπανάκης, Κωνσταντίνος Ε.

Granger casuality and the financial markets

Master Thesis

Author

Σπανάκης, Κωνσταντίνος Ε.

Date

2015-01-23

Abstract

Six years after the recession has begun, most countries have not recovered. Analysts all over the world had not anticipated the strength and the length of the crisis. A matter, that arose, was the importance of accurate and valid forecasting. Therefore, that research has as main topic the construction of the models that best fit the accurate and valid forecasting. There are two parts of the study. The first one introduces the theory and cites all the theories from the oldest to the latest. Issues like unit roots, stationary, cointegration and causality are referred to. The second part analyzes the results of an empirical study .The study investigates the options an investor has choosing from a variety of portfolios and the impact indicators such as DAX, CAC 40, FTSE 100, S&P 500 and ΝΙΚΚΕΙ have on them. All the indicators have been tested for unit roots, cointegration and Granger causality. Data had been collected for 23 years on a monthly basis. The results varied. Not all indicators can be put together in one portfolio. There are a lot of combinations, from which an investor enjoys profits that it depends on him which one to choose.