Please use this identifier to cite or link to this item: http://dspace.lib.uom.gr/handle/2159/26908
Author: Ζαμίδου, Λουκιανή
Title: Stock return and stock market volatility transmission among developed and developing countries: an empirical analysis
Date Issued: 2022
Department: Διατμηματικό Πρόγραμμα Μεταπτυχιακών Σπουδών στην Οικονομική Επιστήμη
Supervisor: Φουντάς, Στυλιανός
Abstract: The project deals with volatility transmission among developed and developing countries by elaborating on the transmission of volatility in stock markets indices. The study aims to empirically examine the transmission of volatility from the United States of America stock market index to the Indian stock market index. Particularly, the study investigates the interdependence between the Nifty-50 stock market index and the Standard and Poor's 500 (S&P 500) stock market index in terms of return and volatility transmission covering the period pre- and during the 2020 global economic crisis due to the Covid-19 pandemic. According to the data so far, the spread of the SARS-CoV-2 virus responsible for the Covid-19 pandemic, and the enforcement of measures such as lockdown have had a significant impact on the economy. To estimate the return between the Indian and the US indices we implemented a VAR model, whereas in order to investigate the volatility transmission a GARCH-BEKK model and the Granger’s causality test were employed. We find evidence of significant correlation, return and volatility transmission between the US stock market and the equity market of India across the whole period of our study, which interestingly, includes the period during the Covid-19 pandemic.
Keywords: Volatility
Information: Διπλωματική εργασία--Πανεπιστήμιο Μακεδονίας, Θεσσαλονίκη, 2022.
Rights: Attribution-NoDerivatives 4.0 Διεθνές
Appears in Collections:ΔΠΜΣ Οικονομική Επιστήμη (M)

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