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http://dspace.lib.uom.gr/handle/2159/14096
Author: | Κρουστάλης, Ιωάννης |
Title: | The extent crisis altered market characteristics: A comparative analysis of GARCH models on Dow Jones and FTSE-100 before and after the current financial crisis. |
Date Issued: | 2010 |
Department: | Διατμηματικό Πρόγραμμα Μεταπτυχιακών Σπουδών στην Οικονομική Επιστήμη |
Supervisor: | Σουμπενιώτης, Δημήτριος |
Abstract: | This study examines the pattern of returns and volatility on United States and United Kingdom stock markets before and after the current financial crisis. GARCH, GARCH in mean (GARCH-M), threshold GARCH (TGARCH) and exponential GARCH (EGARCH) models are applied on daily data of Dow-Jones and FTSE-100 from July 2004 to April 2009. The results present the best fit model for each market for the pre-crisis, post-crisis and entire period since the July 2007 is thought to be the beginning of the crisis. The findings also provide a view of the crisis effects on the markets’ fundamentals and on the investors’ behaviour. |
Keywords: | Financial crisis GARCH models Volatility |
Information: | Διπλωματική εργασία--Πανεπιστήμιο Μακεδονίας, Θεσσαλονίκη, 2010. |
Appears in Collections: | ΔΠΜΣ Οικονομική Επιστήμη (M) |
Files in This Item:
File | Description | Size | Format | |
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KroustalisIoannisMsc2010.pdf | 203.97 kB | Adobe PDF | View/Open |
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