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Analyzing the structural behavior of volatility in the Major European Markets during the Greek crisis

Author

Listed:
  • Marcelo Brutti Righi

    (Universidade Federal de Santa Maria)

  • Paulo Sergio Ceretta

    (Universidade Federal de Santa Maria)

Abstract

In this paper we use a copula-based GARCH model to estimate conditional variances and covariances of the multivariate relationship among English, German and French markets. To that, we used daily prices of FTSE100, DAX and CAC from July 2009 to July 2011, totalizing 508 observations. The volatility of markets and their dependences indicate vestiges of the current European financial crisis, presenting a cluster of volatility and decrease of correlations near to dates of important events. Further, we used CUSUM, MOSUM and F tests to verify the presence of structural change in the volatility of these markets. The results allow concluding that the three markets had the same estimated break point, which coincided with start of Greek crisis. After the peak of turbulence, the risk of these markets returned to lower levels, so they can again be considered as relevant options for international diversification.

Suggested Citation

  • Marcelo Brutti Righi & Paulo Sergio Ceretta, 2011. "Analyzing the structural behavior of volatility in the Major European Markets during the Greek crisis," Economics Bulletin, AccessEcon, vol. 31(4), pages 3016-3029.
    • Handle: RePEc:ebl:ecbull:eb-11-00536
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    References listed on IDEAS

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    Cited by:

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    2. Righi, Marcelo Brutti & Ceretta, Paulo Sergio, 2013. "Risk prediction management and weak form market efficiency in Eurozone financial crisis," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 384-393.
    3. Manmohan, 2023. "The Impact of the COVID-19 Pandemic on metal, mining, and allied sectors in the Indian Stock Market," International Journal of Accounting, Business and Finance, Indian Accounting Association, Patna Branch, vol. 2(2), pages 28-39.
    4. Xu, Yongdeng & Taylor, Nick & Lu, Wenna, 2018. "Illiquidity and volatility spillover effects in equity markets during and after the global financial crisis: An MEM approach," International Review of Financial Analysis, Elsevier, vol. 56(C), pages 208-220.
    5. Marcelo Brutti Righi & Paulo Sergio Ceretta, 2013. "Pair Copula Construction based Expected Shortfall estimation," Economics Bulletin, AccessEcon, vol. 33(2), pages 1067-1072.
    6. Marcelo Brutti Righi & Paulo Sergio Ceretta, 2012. "Global Risk Evolution and Diversification: a Copula-DCC-GARCH Model Approach," Brazilian Review of Finance, Brazilian Society of Finance, vol. 10(4), pages 529-550.
    7. Elżbieta Kacperska & Jakub Kraciuk, 2021. "Changes in the Stock Market of Food Industry Companies during the COVID-19 Pandemic—A Comparative Analysis of Poland and Germany," Energies, MDPI, vol. 14(23), pages 1-17, November.
    8. Gavalas, Dimitris & Syriopoulos, Theodoros & Tsatsaronis, Michael, 2022. "COVID–19 impact on the shipping industry: An event study approach," Transport Policy, Elsevier, vol. 116(C), pages 157-164.

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    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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