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Mean and variance causality between the Cyprus Stock Exchange and major equity markets

Eleni Constantinou, Robert Georgiades, Avo Kazandjian and Georgios Kouretas ()
Additional contact information
Eleni Constantinou: Department of Accounting and Finance, The Philips College, 4-6 Lamias Street, CY-2100, Nicosia,
Robert Georgiades: Department of Accounting and Finance, The Philips College, 4-6 Lamias Street, CY-2100, Nicosia,
Avo Kazandjian: Department of Business Studies, The Philips College, 4-6 Lamias Street, CY-2100, Nicosia, Cyprus.

No 501, Working Papers from University of Crete, Department of Economics

Abstract: This paper examines the issue of mean and variance causality across four equities markets using daily data for the period 1996-2002. We apply the testing procedure developed by Cheung and Ng (1996) in order to test for mean and variance spillovers. The main findings are: (i) In contrast to the findings of previous studies, EGARCH-M processes characterize each stock returns series in all markets; (ii) There is substantial evidence of causality in both mean and variance with the causality in mean largely being driven by the causality in variance; and (iii) The results indicate the stock markets of Athens, London and New York are the major exporters of causality and the stock market of Cyprus is an importer of causality.

Keywords: Causality; cross-correlation function; EGARCH-M; equity market (search for similar items in EconPapers)
JEL-codes: C22 C52 G12 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2005-01
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