Overreaction to the 2015 Greek debt crisis: a study on FTSE, CAC & DAX
The Greek crisis happened in a total of three peaks, the last one happening during the Summer 2015. Western European financial sectors as well as financial markets in general in Europe were hardly hit despite the fact that private sectors in Europe widely reduced their exposure to Greece. In this re...
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| Tipo de recurso: | tesis de maestría |
| Estado: | Versión publicada |
| Fecha de publicación: | 2016 |
| País: | Brasil |
| Institución: | Fundação Getulio Vargas (FGV) |
| Repositorio: | Repositório Institucional do FGV (FGV Repositório Digital) |
| Idioma: | inglés |
| OAI Identifier: | oai:repositorio.fgv.br:10438/17320 |
| Acceso en línea: | http://hdl.handle.net/10438/17320 |
| Access Level: | acceso abierto |
| Palabra clave: | Finance Greece Debt crisis Eurozone Equity markets Overreaction Systematic risk Europe Asymmetry Finanças Crise da dívida Zona euro Euro Reação exagerada Risco sistemático Assimetria Economia Mercado financeiro - Europa Crise financeira - Grécia Dívida externa - Grécia Grécia - Condições econômicas Bolsa de valores - Índices |
| Sumario: | The Greek crisis happened in a total of three peaks, the last one happening during the Summer 2015. Western European financial sectors as well as financial markets in general in Europe were hardly hit despite the fact that private sectors in Europe widely reduced their exposure to Greece. In this research paper, we aim to test for Overreaction on the FTSE 100, DAX 30, and CAC40. The Overreaction Hypothesis states that overreacting indices display an asymmetric mean and variance. In this optic, we test for ARCH type models on the previously cited markets. |
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