Co-movement of the Greek Stock Market with four major Eurozone stock markets before & after the financial crisis: A co-integration approach
In this study we examine the co-movement between the Greek, German, French, Italian and Spanish equity market before and after the financial crisis of 2007-2008, by applying co-integration analysis. The empirical results indicate one co-integrating vector amongthe five Eurozone equity markets for bo...
| Main Author: | |
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2011
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| Online Access: | https://eprints.nottingham.ac.uk/25036/ |
| _version_ | 1848792907579916288 |
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| author | Kotronaros, Konstantinos |
| author_facet | Kotronaros, Konstantinos |
| author_sort | Kotronaros, Konstantinos |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | In this study we examine the co-movement between the Greek, German, French, Italian and Spanish equity market before and after the financial crisis of 2007-2008, by applying co-integration analysis. The empirical results indicate one co-integrating vector amongthe five Eurozone equity markets for both periods, implying that the five markets share in both periods a long-run equilibrium. Thesefindings have some significant implications for European-oriented portfolio diversification because the traditional techniques based on correlations lose their effectiveness in the presence of co-integration.
Furthermore, we investigate the short-run casual relationships between the five markets to assess if the financial crisis changed these relationships and to determine which markets have a short-run significant effect on the others.We found that in the short-run there are significant casual relationships, as well as deviationsfrom the long-run equilibrium, especially after the financial crisis.Hence, investors with short investment horizons could achieve high returns across these five markets.
Keywords: Co-integration analysis; Financial Crisis 2007-2008; Portfolio diversification; Casual relationships. |
| first_indexed | 2025-11-14T18:51:52Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-25036 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T18:51:52Z |
| publishDate | 2011 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-250362022-03-21T16:09:39Z https://eprints.nottingham.ac.uk/25036/ Co-movement of the Greek Stock Market with four major Eurozone stock markets before & after the financial crisis: A co-integration approach Kotronaros, Konstantinos In this study we examine the co-movement between the Greek, German, French, Italian and Spanish equity market before and after the financial crisis of 2007-2008, by applying co-integration analysis. The empirical results indicate one co-integrating vector amongthe five Eurozone equity markets for both periods, implying that the five markets share in both periods a long-run equilibrium. Thesefindings have some significant implications for European-oriented portfolio diversification because the traditional techniques based on correlations lose their effectiveness in the presence of co-integration. Furthermore, we investigate the short-run casual relationships between the five markets to assess if the financial crisis changed these relationships and to determine which markets have a short-run significant effect on the others.We found that in the short-run there are significant casual relationships, as well as deviationsfrom the long-run equilibrium, especially after the financial crisis.Hence, investors with short investment horizons could achieve high returns across these five markets. Keywords: Co-integration analysis; Financial Crisis 2007-2008; Portfolio diversification; Casual relationships. 2011-09 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/25036/1/Konstantinos_Kotronaros-Thesis.pdf Kotronaros, Konstantinos (2011) Co-movement of the Greek Stock Market with four major Eurozone stock markets before & after the financial crisis: A co-integration approach. [Dissertation (University of Nottingham only)] (Unpublished) |
| spellingShingle | Kotronaros, Konstantinos Co-movement of the Greek Stock Market with four major Eurozone stock markets before & after the financial crisis: A co-integration approach |
| title | Co-movement of the Greek Stock Market with four major Eurozone stock markets before & after the financial crisis: A co-integration approach |
| title_full | Co-movement of the Greek Stock Market with four major Eurozone stock markets before & after the financial crisis: A co-integration approach |
| title_fullStr | Co-movement of the Greek Stock Market with four major Eurozone stock markets before & after the financial crisis: A co-integration approach |
| title_full_unstemmed | Co-movement of the Greek Stock Market with four major Eurozone stock markets before & after the financial crisis: A co-integration approach |
| title_short | Co-movement of the Greek Stock Market with four major Eurozone stock markets before & after the financial crisis: A co-integration approach |
| title_sort | co-movement of the greek stock market with four major eurozone stock markets before & after the financial crisis: a co-integration approach |
| url | https://eprints.nottingham.ac.uk/25036/ |