International Transmission of Information: A Study of the Relationship between the U.S. And Greek Stock Markets
This article investigates the international information transmission between the US and Greek stock markets using daily data from the Athens Stock Exchange and the S&P 500 Index returns. The results show no spillovers between these 2 markets for the conditional mean and variance. Also, the cointegration test shows that these 2 markets are not driven by a common trend. It appears that the US and Greek stock markets are not related to each other, either in the short-run or in the long-run. The evidence shows that the US market does not have a strong influence on the Greek stock market.
Multinational Finance Journal
WU, Chunchi; Niarchos, N.; Tse, Y.; and Young, Allan.
International Transmission of Information: A Study of the Relationship between the U.S. And Greek Stock Markets. (1999). Multinational Finance Journal. 3, (1), 19-40. Research Collection Lee Kong Chian School Of Business.
Available at: http://ink.library.smu.edu.sg/lkcsb_research/847
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