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dc.contributor.advisorΧρίστου, Χριστίνα
dc.contributor.authorΖήσης, Μάρκος Α.
dc.date.accessioned2015-01-28T07:49:45Z
dc.date.available2015-01-28T07:49:45Z
dc.date.issued2015-01-28T07:49:45Z
dc.identifier.urihttps://dione.lib.unipi.gr/xmlui/handle/unipi/6262
dc.language.isoel
dc.rightsΑναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 4.0 Διεθνές
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/deed.el
dc.subjectStock market
dc.subjectStocks -- Prices
dc.subjectStock exchanges
dc.subjectPortfolio management
dc.subjectBonds
dc.titleVolatility spillover between stock and bond markets
dc.typeMaster Thesis
europeana.isShownAthttps://dione.lib.unipi.gr/xmlui/handle/unipi/6262
dc.identifier.call332.63 ΖΗΣ
dc.description.abstractENThis thesis studies the phenomenon of volatility spillover between equity and bond markets. It uses two methodologies Hong's volatility spillover test and Yin-Wong Cheung and Lilian K. Ng's causality in variance test. It uses eleven bond markets and eleven stock markets, which form eleven countries. This analysis has two stages; at first it checks for causality with both methodologies among the above mentioned markets. Second it checks for causality exclusively in the bond markets. At first it found almost no causality among markets in both methodologies. As for the second analysis it found strong causality relations among bond markets. Also it checks if an investor can have a diversified portfolio by shifting funds from a bond market to a stock market and vice versa.


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Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 4.0 Διεθνές
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Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 4.0 Διεθνές

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Η δημιουργία κι ο εμπλουτισμός του Ιδρυματικού Αποθετηρίου "Διώνη", έγιναν στο πλαίσιο του Έργου «Υπηρεσία Ιδρυματικού Αποθετηρίου και Ψηφιακής Βιβλιοθήκης» της πράξης «Ψηφιακές υπηρεσίες ανοιχτής πρόσβασης της βιβλιοθήκης του Πανεπιστημίου Πειραιώς»