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Athen's game of chicken or the conditional dependence between the Greek banks

Author

Listed:
  • Abdelkader Derbali

    (Institut Supérieur de Gestion Sousse - Institut Supérieur de Gestion Sousse)

  • Slaheddine Hallara
  • Aida Sy

    (University of Bridgeport)

Abstract

In this paper, we investigate empirically evidence to examine the conditional dependence between the Grecian banks. Then, we use, first, the methodology GARCH-DCC based on the dynamic process of dependence and, second, we use the methodology GARCH-DECO based on the constant process of dependence. The two methodologies DCC and DECO proposed, respectively, by Engle (2002), and Engle and Kelly (2009) are improved from a sample composed by 18 Grecian banks listed in the Athens Exchange over the period 2nd January 2006 from 31st December 2012. The results show the effect of time varying variance and dynamic correlations on the assets returns of all banks listed in the stock market of Greece. These results show that asset returns of banks are highly correlated positively, especially, after the outbreak of the financial crisis of 2007.
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Suggested Citation

  • Abdelkader Derbali & Slaheddine Hallara & Aida Sy, 2016. "Athen's game of chicken or the conditional dependence between the Greek banks," Post-Print hal-01696014, HAL.
    • Handle: RePEc:hal:journl:hal-01696014
    DOI: 10.1504/IJEA.2016.076747
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    References listed on IDEAS

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    Cited by:

    1. Abdelkader DERBALI & Ali LAMOUCHI, 2020. "RETRACTED ARTICLE: The triple (T3) dimension of systemic risk: identifying systemically important banks in Eurozone Abstract: Editor’s Note - This paper has been retracted from our journal due to bogu," Eastern Journal of European Studies, Centre for European Studies, Alexandru Ioan Cuza University, vol. 11, pages 87-122, June.

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