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

Author

Listed:
  • Go Tamakoshi

    () (Kobe University)

  • Shigeyuki Hamori

    () (Kobe University)

Abstract

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.

Suggested Citation

  • Go Tamakoshi & Shigeyuki Hamori, 2011. "Transmission of stock prices amongst European countries before and during the Greek sovereign debt crisis," Economics Bulletin, AccessEcon, vol. 31(4), pages 3339-3353.
  • Handle: RePEc:ebl:ecbull:eb-11-00752
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    File URL: http://www.accessecon.com/Pubs/EB/2011/Volume31/EB-11-V31-I4-P305.pdf
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    References listed on IDEAS

    as
    1. Renatas Kizys & Christian Pierdzioch, 2011. "Contagious speculative bubbles: A note on the Greek sovereign debt crisis," Economics Bulletin, AccessEcon, vol. 31(4), pages 296-296.
    2. 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, pages 345-354.
    3. 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.
    4. 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.
    5. 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.
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    Citations

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    Cited by:

    1. Tiwari, Aviral Kumar & Mutascu, Mihai Ioan & Albulescu, Claudiu Tiberiu, 2016. "Continuous wavelet transform and rolling correlation of European stock markets," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 237-256.
    2. 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, pages 1-13.
    3. repec:eee:phsmap:v:490:y:2018:i:c:p:1211-1227 is not listed on IDEAS

    More about this item

    JEL classification:

    • G0 - Financial Economics - - General
    • G1 - Financial Economics - - General Financial Markets

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