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Multivariate methods in examining macroeconomic variables effect on Greek stock market returns, 1997-2004

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  • Michailidis, G.

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Abstract

The ability to identify which factors best capture systematic return co-variation is central to applications of multifactor pricing models. In the framework of the Arbitrage Pricing Theory (APT), this paper estimates the set of factors that influence Greek stock market returns. The estimation procedure follows both the classic APT and the identification of the factors outliers through factor analysis. Using eight years of data from 1997 to 2004, the examined period is split in two sub-periods, prior and after the entrance of Greece to the European Monetary Union.

Suggested Citation

  • Michailidis, G., 2009. "Multivariate methods in examining macroeconomic variables effect on Greek stock market returns, 1997-2004," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 9(1).
  • Handle: RePEc:eaa:aeinde:v:9:y:2009:i:1_5
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    References listed on IDEAS

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    Cited by:

    1. Rangan GUPTA & Roula INGLESI-LOTZ, 2012. "Macro Shocks and Real US Stock Prices with Special Focus on the “Great Recession”," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 12(2).

    More about this item

    Keywords

    CAPM; APT; macroeconomics; returns; beta; factor loadings;

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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