Please use this identifier to cite or link to this item:
http://dspace.lib.uom.gr/handle/2159/23303
Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | Παναγιωτίδης, Θεόδωρος | el |
dc.contributor.author | Σουπιώνης, Γεώργιος | el |
dc.contributor.author | Soupionis, Georgios | en |
dc.date.accessioned | 2019-08-28T09:33:34Z | - |
dc.date.available | 2019-08-28T09:33:34Z | - |
dc.date.issued | 2019 | el |
dc.identifier.uri | http://dspace.lib.uom.gr/handle/2159/23303 | - |
dc.description | Πτυχιακή εργασία--Πανεπιστήμιο Μακεδονίας, Θεσσαλονίκη, 2019. | el |
dc.description.abstract | In this paper, we investigate the correlation between various commodity and equity markets from different countries during the period of the 2000s. We used weekly data to avoid the problem with the differenced time between the markets. We applied the dynamic conditional correlation methodology and ran an OLS estimation with two shock dummies in order to examine the hypothesis that the correlation must be negative during shock periods, as long as the safe heaven hypothesis. Our main findings supports that the correlation between commodity and equity markets tend to be negative during the two crisis, but after the financial crisis of 2008 the correlation seems to be positive due to the financialization of the economy. | el |
dc.format.extent | 61 | el |
dc.language.iso | en | en |
dc.publisher | Πανεπιστήμιο Μακεδονίας | el |
dc.rights | CC0 1.0 Παγκόσμια | el |
dc.rights.uri | http://creativecommons.org/publicdomain/zero/1.0/ | * |
dc.subject | Commodity | en |
dc.subject | Equity | en |
dc.subject | DCC GARCH | en |
dc.title | On the correlation between commodity and equity returns | el |
dc.type | Bachelor's Degree Paper | el |
dc.type | Text | el |
dc.contributor.committeemember | Φουντάς, Στυλιανός | - |
dc.contributor.department | Τμήμα Οικονομικών Επιστημών (ΠΕ) | el |
Appears in Collections: | Τμήμα Οικονομικών Επιστημών (Π) |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
SoupionisGeorgiosPe2019.pdf | 1.5 MB | Adobe PDF | View/Open |
This item is licensed under a Creative Commons License