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Collections :	Ιδρυματικό Αποθετήριο ΟΠΑ / AUEB Institutional Repository Σχολή Οικονομικών Επιστημών / School of Economics Τμήμα Οικονομικής Επιστήμης / Department of Economics Μεταπτυχιακές Εργασίες / Postgraduate dissertations

Title :	Macroeconomic fluctuations and stock market performance in Greece

Creator :	Tsafos, Ioannis D.

Contributor :	Tzavalis, Elias (Επιβλέπων καθηγητής) Athens University of Economics and Business, Department of Economics (Degree granting institution)

Type :	Text

Extent :	89p.

Language :	en

Abstract :	The study investigates the relationship between stock market performance and the fluctuations of some macroeconomic variables, such as CPI, short term interest rates and unemployment in Greece for the period of 1995 – 2012 using monthly data. We have examined that relationship by constructing a VECM, using also Variance Decomposition and Impulse Response Functions. Furthermore we have used several tests and techniques in the framework of VAR modeling, such as Unit Root Tests and Cointegration Tests. The stock market performance is represented by the All Share Price Index (ALSI). The study found that there is relation between ALSI and CPI, UNEMPLOYMENT and SHORT TERM INTEREST RATES; although a small percentage of stock market performance is explained from the above mentioned variables. The study also reveals that there is a negative relationship between stock market performance and unemployment as long as between stock market performance and interest rates.

Abstract :

The study investigates the relationship between stock market performance and the fluctuations of some macroeconomic variables, such as CPI, short term interest rates and unemployment in Greece for the period of 1995 – 2012 using monthly data. We have examined that relationship by constructing a VECM, using also Variance Decomposition and Impulse Response Functions. Furthermore we have used several tests and techniques in the framework of VAR modeling, such as Unit Root Tests and Cointegration Tests. The stock market performance is represented by the All Share Price Index (ALSI). The study found that there is relation between ALSI and CPI, UNEMPLOYMENT and SHORT TERM INTEREST RATES; although a small percentage of stock market performance is explained from the above mentioned variables. The study also reveals that there is a negative relationship between stock market performance and unemployment as long as between stock market performance and interest rates.

Subject :	Macroeconomic fluctuations Stock Market Performance VAR and VECM modeling Greece Macroeconomic and Financial linkages

Date :	28-11-2013

Licence :

File: Tsafos_2013.pdf

Type: application/pdf

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