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Mean and variance causality between the Cyprus Stock Exchange and major equity markets

  • Georgios Kouretas

    (University of Crete)

  • Eleni Constantinou

    (The Philips College Cyprus)

  • Robert Georgiades

    (The Philips College Cyprus)

  • Avo Kazandjian

    (The Philips College Cyprus)

This paper examines the issue of mean and variance causality across four equities markets using daily data for the period 1996-2002. We apply the testing procedure developed by Cheung and Ng (1996) in order to test for mean and variance spillovers. The main findings are: (i) In contrast to the findings of previous studies, EGARCH-M processes characterize each stock returns series in all markets; (ii) There is substantial evidence of causality in both mean and variance with the causality in mean largely being driven by the causality in variance; and (iii) The results indicate the stock markets of Athens, London and New York are the major exporters of causality and the stock market of Cyprus is an importer of causality.

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Paper provided by Money Macro and Finance Research Group in its series Money Macro and Finance (MMF) Research Group Conference 2005 with number 24.

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Date of creation: 03 Sep 2005
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Handle: RePEc:mmf:mmfc05:24
Contact details of provider: Web page: http://www.essex.ac.uk/afm/mmf/index.html

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