The effect of US and European Stock Exchanges on Greece's Stock Market: A VAR approach

Nikolaos Veraros, Evangelia Kasimati

Research output: Contribution to journalArticle

4 Citations (Scopus)

Abstract

Through a structural vector autoregression model the effect of the European and US stock exchanges on the Athens stock exchange (ASE) is examined. Consistent with other studies on the effect of large stock markets on smaller regional ones, we find that both the European and US stock exchanges affect ASE, with the European markets exhibiting greater and more immediate effect.
Original languageEnglish
Pages (from-to)133-36
Number of pages4
JournalApplied Financial Economics Letters
Volume3
Issue number1-3
Publication statusPublished - 2007

Keywords

  • Asset Pricing
  • Portfolio Choice
  • International Financial Markets (G150)
  • Trading volume
  • Event Studies (G140)
  • Information and Market Efficiency
  • Bond Interest Rates (G120)
  • Investment Decisions (G110)

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