Please use this identifier to cite or link to this item:
Full metadata record
DC FieldValueLanguage
dc.contributor.advisorΣουμπενιώτης, Δημήτριοςel
dc.contributor.authorΚρουστάλης, Ιωάννηςel
dc.descriptionΔιπλωματική εργασία--Πανεπιστήμιο Μακεδονίας, Θεσσαλονίκη, 2010.el
dc.description.abstractThis 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.en
dc.format.extent208869 bytes-
dc.publisherΠανεπιστήμιο Μακεδονίας Οικονομικών και Κοινωνικών Επιστημώνel
dc.subjectFinancial crisisen
dc.subjectGARCH modelsen
dc.titleThe extent crisis altered market characteristics: A comparative analysis of GARCH models on Dow Jones and FTSE-100 before and after the current financial crisis.en
dc.typeElectronic Thesis or Dissertationen
dc.contributor.departmentΔιατμηματικό Πρόγραμμα Μεταπτυχιακών Σπουδών στην Οικονομική Επιστήμηel
Appears in Collections:ΔΠΜΣ Οικονομική Επιστήμη (M)

Files in This Item:
File Description SizeFormat 
KroustalisIoannisMsc2010.pdf203.97 kBAdobe PDFView/Open

Items in Psepheda are protected by copyright, with all rights reserved, unless otherwise indicated.