Analyse des interdépendances non linéaires des principaux marchés boursiers de la zone euro

Rachida Hennani () and Michel Terraza

Revue d'économie politique, 2017, vol. 127, issue 1, 47-70

Abstract: This paper analyzes the interdependencies of stock markets indices in the euro zone. We introduce an original dynamic model which is a combination of the noisy bivariate Mackey-Glass model of Kyrtsou and Labys [2006], extended in a multivariate framework, with DCC-GJR-GARCH errors. The empirical application conducted on seven market indices in the euro zone over the period from 11/28/2003 to 11/25/2012 highlights several mechanical interdependencies. The relationship detected in the mean equation confirm the leading role of the French and German indices, an organization of Southern Europe countries around the Italian index and the isolation of Greek and Irish indices. The psychological interdependencies revealed by the specification DCC-GJR-GARCH show two particular groups: the first is composed of ATHEX, CAC, ISEQ, IBEX and DAX indices and the second concerns the Italian and Portuguese indices. We find strong correlations for the Franco-German couple while we note a de-correlation, in the first group between CAC, DAX, ISEQ, IBEX with the Hellenic index following the sovereign debt crisis. The other indices are characterized by unstable psychological interdependencies on the study period.

Keywords: DCC-GJR-GARCH; multivariate GARCH; Mackey-Glass; interdependencies; stockmarket indices (search for similar items in EconPapers)
Date: 2017
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