Ανάλυση της αλληλεπίδρασης μεταξύ αναπτυσσόμενων χρηματιστηριακών αγορών

Μιζαρίδου, Παναγιώτα Α.

An analysis of the interdependence among developing stock markets

Master Thesis

Author

Μιζαρίδου, Παναγιώτα Α.

Date

2016-09

Abstract

The purpose of this study is to identify the existing interdependence among world stock markets. To this end, a sample of stock exchanges of developed and developing countries (USA, Argentina, Germany, Greece, UK, Japan, and Croatia) was formed and analyzed for the period 2001-2015. The above period is of high interest, given that it includes the recent financial crisis which has seriously affected world economy and especially the economies of USA and Europe. Interdependence was examined for the whole period as well as for certain sub periods, which differ from the point of view of the prevailing conditions in the economic environment. We have applied VAR models as well as the standard unit root tests, cointegration tests and trend tests. To trace interdependence we used J-Maximum, eigenvalue and J-Trace methods. Finally Innovation Accounting was performed by using Variance decomposition) and Impulse Response Functions. The findings of this study support the argument that stock markets affect each other and especially that the developed markets affect the developing ones. In detail, a significant shock in the stock market of an economically strong country is followed by corresponding shocks in the stock markets of weaker economies, usually after 1 to 5 days. The strongest influence was exerted from the stock markets of USA and Germany to developing ones. Similar studies in the past derived the similar conclusions. However, the findings of certain sub periods (i.e. dominance of the stock market of Argentina over German stock market) cannot be interpreted in real terms. A possible explanation could be that these findings are due to methodological errors as well as to shortcomings of the sample.

Postgraduate Studies Programme

Εφαρμοσμένη Στατιστική

Department

Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Στατιστικής και Ασφαλιστικής Επιστήμης

Number of pages

Language

English

URI

https://dione.lib.unipi.gr/xmlui/handle/unipi/9690

Collections

Τμήμα Στατιστικής και Ασφαλιστικής Επιστήμης

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