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Transmission of stock prices amongst European countries before and during the Greek sovereign debt crisis

  • Go Tamakoshi

    ()

    (Kobe University)

  • Shigeyuki Hamori

    ()

    (Kobe University)

This 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.

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File URL: http://www.accessecon.com/Pubs/EB/2011/Volume31/EB-11-V31-I4-P305.pdf
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Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 31 (2011)
Issue (Month): 4 ()
Pages: 3339-3353

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Handle: RePEc:ebl:ecbull:eb-11-00752
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  1. Renatas Kizys & Christian Pierdzioch, 2011. "Contagious speculative bubbles: A note on the Greek sovereign debt crisis," Economics Bulletin, AccessEcon, vol. 31(4), pages A296.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
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