International Transmission of Information: A Study of the Relationship Between the U.S. and Greek Stock Markets

Nikitas Niarchos, Yiuman Tse, Chunchi Wu and Allan Young
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Nikitas Niarchos: University of Athens, Greece
Yiuman Tse: State University of New York at Binghamton, U.S.A.
Chunchi Wu: Syracuse University, U.S.A.
Allan Young: Syracuse University, U.S.A.

Multinational Finance Journal, 1999, vol. 3, issue 1, 19-40

Abstract: This article investigates the international information transmission between the U.S. and Greek stock markets using daily data from the Athens Stock Exchange (ASE) and the S&P 500 Index returns. It employs a bivariate exponential GARCH-t (EGARCH-t) that allows for both mean and variance spillovers between the two markets. It also performs cointegration tests on the long-run relation between these two markets and explores the possible common volatility feature in the spirit of Engle and Kozicki (1993). The results show no spillovers between these two markets for the conditional mean and variance. Also, the cointegration test shows that these two markets are not driven by a common trend. It appears that the U.S. and Greek stock markets are not related to each other, either in the short-run or in the long-run. Contrary to previous studies of the world’s large financial markets, the evidence here shows that the U.S. market does not have a strong influence on the Greek stock market.

Keywords: cointegration; clustering; EGARCH; heteroskedasticity; spillover (search for similar items in EconPapers)
JEL-codes: G1 G15 (search for similar items in EconPapers)
Date: 1999
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:mfj:journl:v:3:y:1999:i:1:p:19-40

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