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http://dspace.lib.uom.gr/handle/2159/14096
Full metadata record
DC Field | Value | Language |
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dc.contributor.advisor | Σουμπενιώτης, Δημήτριος | el |
dc.contributor.author | Κρουστάλης, Ιωάννης | el |
dc.date.accessioned | 2010-10-20T10:19:29Z | - |
dc.date.available | 2010-10-20T10:19:29Z | - |
dc.date.issued | 2010 | en |
dc.identifier.uri | http://dspace.lib.uom.gr/handle/2159/14096 | - |
dc.description | Διπλωματική εργασία--Πανεπιστήμιο Μακεδονίας, Θεσσαλονίκη, 2010. | el |
dc.description.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. | en |
dc.format.extent | 30 | en |
dc.format.extent | 208869 bytes | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | en | en |
dc.publisher | Πανεπιστήμιο Μακεδονίας Οικονομικών και Κοινωνικών Επιστημών | el |
dc.subject | Financial crisis | en |
dc.subject | GARCH models | en |
dc.subject | Volatility | en |
dc.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. | en |
dc.type | Electronic Thesis or Dissertation | en |
dc.type | Text | en |
dc.contributor.department | Διατμηματικό Πρόγραμμα Μεταπτυχιακών Σπουδών στην Οικονομική Επιστήμη | el |
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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