Multivariate methods in examining macroeconomic variables effect on Greek stock market returns, 1997-2004

G. Michailidis ()

Applied Econometrics and International Development, 2009, vol. 9, issue 1

Abstract: The ability to identify which factors best capture systematic return co-variation is central to applications of multifactor pricing models. In the framework of the Arbitrage Pricing Theory (APT), this paper estimates the set of factors that influence Greek stock market returns. The estimation procedure follows both the classic APT and the identification of the factors outliers through factor analysis. Using eight years of data from 1997 to 2004, the examined period is split in two sub-periods, prior and after the entrance of Greece to the European Monetary Union.

Keywords: CAPM; APT; macroeconomics; returns; beta; factor loadings (search for similar items in EconPapers)
JEL-codes: E44 G11 G12 G14 (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (3)

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