Η αντανάκλαση σημαντικών οικονομικών και κοινωνικοπολιτικών γεγονότων στη χρηματιστηριακή αγορά : οι περιπτώσεις Ελλάδος και ΗΠΑ
The reaction of stock markets to economic and sociopolitical events in Greece and USA
Master Thesis
Date
2015View/
Subject
Χρηματιστήρια αξιών ; Χρηματαγορά ; Χρηματιστήρια -- Ελλάδα ; Χρηματιστήρια -- Ηνωμένες Πολιτείες ΑμερικήςKeywords
Μεταβλητότητα (volatility)Abstract
The current thesis aims to identify the main factors that affect volatility of
indexes at Athens Stock Exchange and Dow Jones. To this end, a sample of the
most important economic and sociopolitical events of the last 15 years are
selected to examine the reaction of those stock markets.
For the measurement of volatility, four basic estimators are used including
standard deviation of returns and three more alternative estimators which utilize
daily high, low and close prices suggested by relevant studies.
Measurement of volatility is processed one month before and one month after
the event in order to examine the impact of the event in the volatility figure.
Conclusions:
• Results reveal that volatility is connected with political uncertainty and
political risk and important economic events have an important impact on
volatility.
• The last five years the volatility of Athens stock Exchange is increased due to
important political and economic events.
• Estimators used for the measurement of volatility gives different results but
conclusions are the same as they follow the same pattern.
• Dow Jones is not affected by presidential elections and typhoons.
Postgraduate Studies Programme
Αναλογιστική Επιστήμη και Διοικητική ΚινδύνουDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Στατιστικής και Ασφαλιστικής ΕπιστήμηςNumber of pages
68Language
GreekCollections
Except where otherwise noted, this item's license is described as
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές