The effect of US and European stock exchanges on Greece's stock market: a VAR approach

Nikolaos Veraros and Evangelia Kasimati

Applied Financial Economics Letters, 2007, vol. 3, issue 2, 133-136

Abstract: Through a structural vector autoregression model the effect of the European and US stock exchanges on the Athens stock exchange (ASE) is examined. Consistent with other studies on the effect of large stock markets on smaller regional ones, we find that both the European and US stock exchanges affect ASE, with the European markets exhibiting greater and more immediate effect.

Date: 2007
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DOI: 10.1080/17446540600706874

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