کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7364608 | 1479107 | 2016 | 35 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Financial crisis, liquidity and dynamic linkages between large and small stocks: Evidence from the Athens Stock Exchange
ترجمه فارسی عنوان
بحران مالی، نقدینگی و ارتباطات پویا بین سهام بزرگ و کوچک: شواهد از بورس اوراق بهادار آتن
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
This paper investigates return and volatility spillovers among Large, Medium and Small size stock portfolios in Athens Stock Exchange by employing an augmented univariate and multivariate VAR-EGARCH model. As a robustness test, a Monte Carlo simulation is undertaken in order to disentangle the impact of non-synchronous trading. We find that the transmission mechanism in ASE is less asymmetric after the recent financial crisis. In addition, there are spillovers among Large, Medium and Small size stocks, with a feedback effect revealed as well. The simulation results suggest that non-synchronous trading accounts for spillover effects in volatility in the post-crisis period. Our results entail implications for investors, listed companies and policy makers.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Financial Markets, Institutions and Money - Volume 40, January 2016, Pages 46-62
Journal: Journal of International Financial Markets, Institutions and Money - Volume 40, January 2016, Pages 46-62
نویسندگان
Athanasios Koulakiotis, Vassilios Babalos, Nicholas Papasyriopoulos,