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Stock market integration-the athens exchange in the european financial market

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  • Balfoussia Hiona

    ()
    (Bank of Greece)

Abstract

This article contributes to the existing literature on European financial market integration by investigating whether the degree of integration between the Athens Stock Exchange (ASE) and three major euro zone stock markets has varied over time since the signing of the Maastricht treaty. To this aim, the evolution of pairwise correlations as a descriptive indication of financial market linkages is initially considered. Subsequently, a more formal assessment of integration is undertaken, focusing on the dynamic dependence between daily stock-index returns on the ASE and those on the other stock exchanges. A range of alternative, sequentially nested GARCH specifications are estimated over rolling windows of our sample, with a view to determining whether the degree of integration between the markets in question has varied over time. ASE equity returns appear to conform to well-established empirical regularities, while their mean and variance processes seem clearly influenced by those of other European stock markets, the extent of dependence however varying over the sample period.

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Bibliographic Info

Article provided by Bank of Greece, Economic Research Department in its journal Economic Bulletin.

Volume (Year): (2008)
Issue (Month): 30 (May)
Pages: 29-55

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Handle: RePEc:bog:econbl:y:2008:i:30:p:29-55

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Web page: http://www.bankofgreece.gr
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  1. Heather Gibson & Jim Malley, 2008. "The Contribution of Sectoral Productivity Differentials to Inflation in Greece," Open Economies Review, Springer, vol. 19(5), pages 629-650, November.
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Cited by:
  1. Nikos G. Zonzilos & Zacharias G. Bragoudakis & Georgia I. Pavlou, 2009. "An analysis of the reliability of first (flash) quarterly national account data releases for Greece," Economic Bulletin, Bank of Greece, Economic Research Department, issue 32, pages 39-51, May.
  2. Petros M Migiakis, 2010. "Determinants of the Greek stock-bond correlation," Economic Bulletin, Bank of Greece, Economic Research Department, issue 33, pages 79-90, May.
  3. Hiona Balfoussia & Heather Gibson, 2010. "Inflation and Nominal Uncertainty: the case of Greece," Economic Bulletin, Bank of Greece, Economic Research Department, issue 33, pages 63-78, May.
  4. Theodoros M. Mitrakos & George T. Simigiannis, 2009. "The determinants of Greek household indebtedness and financial stress," Economic Bulletin, Bank of Greece, Economic Research Department, issue 32, pages 7-26, May.
  5. Petros M. Migiakis, 2012. "Reviewing the proposals for common bond issuances by the euro-area sovereign under a long-term perspective," Economic Bulletin, Bank of Greece, Economic Research Department, issue 37, pages 43-54, December.
  6. Theodore Mitrakos & Panos Tsakloglou & Ioannis Cholezas, 2010. "Determining factors of youth unemployment in Greece with emphasis on tertiary education graduates," Economic Bulletin, Bank of Greece, Economic Research Department, issue 33, pages 21-62, May.
  7. Zacharias Bragoudakis & Stelios Panagiotou, 2010. "Determinants of the receipts from shipping services: the case of Greece," Economic Bulletin, Bank of Greece, Economic Research Department, issue 34, pages 41-55, September.
  8. Zacharias Bragoudakis & Dimitrios Sideris, 2012. "Do retail gasoline prices adjust symmetrically to crude oil price changes? the case of the Greek oil market," Economic Bulletin, Bank of Greece, Economic Research Department, issue 37, pages 7-21, December.
  9. Costas N. Kanellopoulos, 2012. "Employment and worker flows during the financial crisis," Economic Bulletin, Bank of Greece, Economic Research Department, issue 36, pages 31-41, April.
  10. Theodoros Mitrakos & Panos Tsaklogou & Ioannis Cholezas, 2010. "Determinants of the wage rates in Greece with an emphasis on the wages of tertiary education graduates," Economic Bulletin, Bank of Greece, Economic Research Department, issue 34, pages 7-40, September.
  11. Heather Gibson & hiona Balfousia, 2010. "The impact of nominal and real uncertainty on macroeconomic aggregates in Greece," Economic Bulletin, Bank of Greece, Economic Research Department, issue 34, pages 57-71, September.
  12. Papaspyrou Theodoros, 2012. "EMU sustainability and the prospects of peripheral economies," Economic Bulletin, Bank of Greece, Economic Research Department, issue 36, pages 7-29, April.
  13. Christos Papazoglou, 2009. "Is Greece's export performance really low?," Economic Bulletin, Bank of Greece, Economic Research Department, issue 32, pages 27-37, May.
  14. Costas N. Kanellopoulos, 2012. "The Size and structure of uninsured employment," Economic Bulletin, Bank of Greece, Economic Research Department, issue 37, pages 23-41, December.
  15. Vassilis Th. Rapanoss & Georgia Kaplanoglou, 2010. "Independent Fiscal Councils and Their Possible Role in Greece," Economic Bulletin, Bank of Greece, Economic Research Department, issue 33, pages 7-20, May.
  16. Faidon Kalfaoglou, 2012. "Bank capital adequacy framework," Economic Bulletin, Bank of Greece, Economic Research Department, issue 36, pages 43-81, April.

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