DEVELOPED STOCK MARKETS PERFORMANCE DURING THE GREEK CRISIS, DESEMPENO DE LOS MERCADOS ACCIONARIOS DESARROLLADOS DURANTE LA CRISIS GRIEGA

Eduardo Sandoval

Revista Internacional Administracion & Finanzas, 2013, vol. 6, issue 3, 1-13

Abstract: This paper investigates empirically the performance of developed stock markets (according to the classification of MSCI) during the recent crisis in Greece, which started in early October 2009. Performance is measured by Jensen's alpha. An international version of the CAPM is used as the equilibrium model, while the World Index is used as the benchmark portfolio for investors. The results show that stock markets in Italy, Spain and Greece were the most exposed to value destruction during the crisis period. By contrast, the U.S. stock market had superior performance while the markets of Canada, the Pacific area and Israel do not present a risk-adjusted performance statistically different from that shown by the World Index. We conclude that eurozone countries with excessive public debt to GDP should be able to create the spaces for a greater fiscal discipline and provide incentives to private sector with the objective to generate greater economic productivity to overcome this kind of crisis which negatively have affected to other European stock markets regardless of their size.

Keywords: Crisis of Greece; Jensen’s Alpha (search for similar items in EconPapers)
JEL-codes: G11 G15 (search for similar items in EconPapers)
Date: 2013
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