How can a small country affect the European economy? The Greek contagion phenomenon

Samitas, Aristeidis; Tsakalos, Ioannis

doi:10.1016/j.intfin.2013.01.005

Cited by 87 publications

(23 citation statements)

References 32 publications

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“…6;2014 lower or even negative correlations. Moreover, the U.S. factor has a larger positive and significant effect on most of the correlations even in the Eurozone crisis period (referring to Tables 6, 8 and 9), which is similar to the finding of Samitas and Tsakalos (2013). They evidenced that whether during the Eurozone debt crisis or not, the influence of the US stock market on the other countries' markets was more important than PIIGS market on the other countries' markets.…”

Section: The Results Of Two-step Ag-dcc Modelsupporting

confidence: 81%

“…Syllignakis and Kouretas (2011) use the weekly returns of several emerging stock markets of Central and Eastern Europe and find that there is significant increase in the correlations between the U.S. and Germany and those between Central and Eastern Europe countries in the financial crisis. Moreover, the finding of Samitas and Tsakalos (2013) indicates that the subprime crisis increases the correlation between returns of Greek stock market and seven European stock markets. However, the impact is lower on the correlation during the Greek Crisis.…”

Section: The Correlation Between Marketsmentioning

confidence: 97%

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Relationship between Correlations and Volatilities of Global Equity Returns: An Empirical Study of the Eurozone Debt Crisis

Hsiao¹,

Wu²,

Wang³

2014

IBR

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The objective of this study was to investigate the relationship between correlations of global equity returns and volatilities, in which equity markets are divided into two areas: one is PIIGS area (Portugal, Italy, Ireland, Greece and Spain) and the other is non-PIIGS area. Weekly index prices are collected spanning from January 5, 2001 to January 27, 2012, a total of 578 observations. Current study firstly used the best-fitted ARMA-GARCH model on each stock market and then utilized the diagonal AG-DCC model to derive the dynamic conditional correlations. The empirical finding suggests an overall regional factor denoted by PIIGS volatility (or volatility ratio) and a global factor by the U.S. counterpart during the Eurozone debt crisis. The finding of negative correlation between correlations and volatilities (or volatility ratio), mainly attributed to the PIIGS, is not in line with that of Cappiello, Engle, and Sheppard (2006). Moreover, the correlations of Germany with the other equity markets are not explained by the regional factor but by the global factor. The reason is that Germany has been the Europe's most powerful economy and also plays a pivotal role in the management of Eurozone debt crisis. Lastly, investors may gain benefits from international diversification investment by including assets of PIIGS as well as either the Asian or the developed stock markets.

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Section: The Results Of Two-step Ag-dcc Modelsupporting

confidence: 81%

Section: The Correlation Between Marketsmentioning

confidence: 97%

Relationship between Correlations and Volatilities of Global Equity Returns: An Empirical Study of the Eurozone Debt Crisis

Hsiao¹,

Wu²,

Wang³

2014

IBR

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“…The literature is either focused on contagion in stock markets or the degree of market integration, highlighting heterogeneous results depending on the definition of contagion and interdependence, methodology, data sample, or other factors. The first group of literature emphasizes that extreme events generate a high volatility in equity markets comovements and lead to contagion and tail dependence [36][37][38][39][40][41][42][43][44][45][46][47][48]. The second group of studies focuses on the issue of stock market integration [49][50][51][52][53][54].…”

Section: Literature Reviewmentioning

confidence: 99%

The Comovement of Exchange Rates and Stock Markets in Central and Eastern Europe

2019

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This paper analyses the link between exchange rates and stock markets in four Central and Eastern European countries. We simultaneously explore the comovements of foreign exchange markets and stock markets at the cross-country level and the link between these two markets within each country while employing a Dynamic Conditional Correlation Mixed Data Sampling (DCC-MIDAS) model. Such an approach to financial markets conveys a much more visible picture of the existing patterns of financial integration between these markets that would otherwise be neglected. The estimates reveal significant differences between the patterns of correlation in our sample countries. First, the paper finds a quite low degree of convergence between foreign exchange markets, with rising correlations during some of the crisis episodes. Second, both the 2004 European Union enlargement and the European sovereign debt crisis underpin the stock market comovements in the Central and Eastern European countries. Third, the correlations between the exchange rate returns and stock markets rise mostly during the European sovereign debt crisis and to a lesser extent during the global financial crisis, revealing signs of contagion and lower portfolio diversification opportunities. These results are of utmost relevance for the process of financial integration and they also have important implications for policy makers, risk management, and investors.

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“…Bekaert, Ehrmann, Fratzscher, & Mehl, ; Kenourgios & Dimitriou, ). Many different statistical correlation techniques have been adopted to examine contagion, including dynamic conditional correlation (Chiang, Jeon, & Li, ; Engle, ), asymmetric generalised dynamic conditional correlations (Cappiello, Engle, & Sheppard, ) and different copula functions (Kenourgios, Samitas, & Palalidis, ; Samitas & Tsakalos, ). In this paper, we use rolling correlations in addition to dynamic conditional correlations (DCC) and a copula function to examine contagion within the Eurozone.…”

Section: Crises In Greece and Contagion: The Literaturementioning

confidence: 99%

Was it different the second time? An empirical analysis of contagion during the crises in Greece 2009–15

Bird

Pentecost

et al. 2017

World Economy

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Over the period between end‐2009 and end‐2015, Greece experienced two discernible financial crises. This paper undertakes a correlation analysis of risk premia to investigate the nature and extent of contagion from these crises to other selected Eurozone countries. A commonly expressed view is that the effects of the second crisis were more muted since the systemic risks were seen by markets as being lower. However, using a rolling correlation model, a Dynamic Conditional Correlation GARCH (DCC‐GARCH) model and a t‐copula model we find that this is not the case. Broadly speaking, the contagion effects of the second crisis were at least as large as those associated with the first one.

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How can a small country affect the European economy? The Greek contagion phenomenon

Cited by 87 publications

References 32 publications

Relationship between Correlations and Volatilities of Global Equity Returns: An Empirical Study of the Eurozone Debt Crisis

Relationship between Correlations and Volatilities of Global Equity Returns: An Empirical Study of the Eurozone Debt Crisis

The Comovement of Exchange Rates and Stock Markets in Central and Eastern Europe

Was it different the second time? An empirical analysis of contagion during the crises in Greece 2009–15

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