Η επίδραση της οικονομικής αβεβαιότητας στις τιμές των μετοχών
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Keywords
Αβεβαιότητα ; Προσδιοριστικοί παράγοντες των τιμών των μετοχών ; Τιμές των μετοχών ; GMM ; Έλεγχος αιτιότητας κατά GrangerAbstract
The goal of this paper is to investigate the impact of economic policy uncertainty on stock prices. This is implemented by using certain indexes, such as Economic Policy Uncertainty (EPU) and the Volatility Index (VIX). Moreover, the causal relationship between these indexes and stock prices is determined, as well as that between these indexes and the determinants of stock prices in order to document a more thorough picture about the correlations of the variables that are used in the empirical part of this thesis. The empirical analysis is carried out by using the GMM method and the Granger Causality testing approach. The results clearly highlight the negative impact of economic uncertainty on stock prices, as well as the presence of a strong Granger causal relationship between the uncertainty indexes and stock prices. As far as the causality between stock prices and the determinants of stock prices is concerned, the findings are differentiated and are distinguished between on an one-way and zero causality, depending on the variables under examination.
Postgraduate Studies Programme
Χρηματοοικονομική και Τραπεζική με κατεύθυνση στην Χρηματοοικονομική και Τραπεζική ΔιοικητικήDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Χρηματοοικονομικής και Τραπεζικής ΔιοικητικήςNumber of pages
83Language
Greek
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Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές