Μελέτη σχέσης αιτιότητας κατά Granger μεταξύ αποδόσεων τιμών μετοχών ευρωπαϊκών τραπεζών και του γενικού δείκτη
Determining Granger causality and impulse response functions for returns of european banks and market indices
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Keywords
Χρηματιστήρια ; Χρονοσειρές ; Στασιμότητα ; Έλεγχος μοναδιαίας ρίζας ; Αυτοπαλίνδρομα υποδείγματα ; Έλεγχος αιτιότητας κατά Granger ; Ανάλυση συναρτήσεων Αιφνίδιων Αντιδράσεων ; Stock market ; Time series ; Unit Root Test ; Vector autoregressive models ; Granger causality ; Impulse Response FunctionsAbstract
Τhis study investigates the existence of causality between the returns of European Banks and market indices. The determination of the causality is done by using contemporary econometric models, specifically by using Vector Autoregressive models (VAR models), Granger causality and impulse response functions. The banks chosen are from countries that are members of the European Union; one categorized as large cap and one as small cap. Regarding the U.K. and Spain equities, the empirical results of the study indicate that for all the cases examined, the indices, FTSE 100 and Ibex 35 respectively, do not affect the returns of the equities. On the other hand, in France and Italy is proven that the indices CAC 40 and FTSEMIB affect the small cap equities returns.
Postgraduate Studies Programme
Εφαρμοσμένη ΣτατιστικήDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Στατιστικής και Ασφαλιστικής ΕπιστήμηςNumber of pages
148Language
GreekCollections
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Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές