Transmission of stock prices amongst European countries before and during the Greek sovereign debt crisis
AbstractThis article employs the lag-augmented VAR (LA-VAR) approach developed by Toda and Yamamoto (1995) to analyze the transmission of stock indices among the European PIIGS (Portugal, Ireland, Italy, Greece and Spain), Germany and the UK before and during the European sovereign debt crisis. The entire sample period is broken down into two periods: Sample A (from January 2, 2007 to November 4, 2009) and Sample B (from November 5, 2009 to June 30, 2011). Our analysis revealed evidence of interdependence as reflected by the Granger causality primarily from Portugal and Ireland to several countries including Germany prior to the crisis. The study also found that a significant causal relationship mostly disappeared during the Greek sovereign debt crisis.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by AccessEcon in its journal Economics Bulletin.
Volume (Year): 31 (2011)
Issue (Month): 4 ()
Contact details of provider:
Find related papers by JEL classification:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Matthew Yiu & Wai-Yip Alex Ho & Daniel Choi, 2010. "Dynamic correlation analysis of financial contagion in Asian markets in global financial turmoil," Applied Financial Economics, Taylor & Francis Journals, vol. 20(4), pages 345-354.
- Renatas Kizys & Christian Pierdzioch, 2011. "Contagious speculative bubbles: A note on the Greek sovereign debt crisis," Economics Bulletin, AccessEcon, vol. 31(4), pages A296.
- Sheng-Yung Yang, 2005. "A DCC analysis of international stock market correlations: the role of Japan on the Asian Four Tigers," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 1(2), pages 89-93, March.
- Shigeyuki Hamori & Yuriko Imamura, 2000. "International transmission of stock prices among G7 countries: LA-VAR approach," Applied Economics Letters, Taylor & Francis Journals, vol. 7(9), pages 613-618.
- Toda, Hiro Y. & Yamamoto, Taku, 1995. "Statistical inference in vector autoregressions with possibly integrated processes," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 225-250.
- Loh, Lixia, 2013. "Co-movement of Asia-Pacific with European and US stock market returns: A cross-time-frequency analysis," Research in International Business and Finance, Elsevier, vol. 29(C), pages 1-13.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (John P. Conley).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.