Article ID Journal Published Year Pages File Type
5085004 International Review of Financial Analysis 2013 8 Pages PDF
Abstract
► The SDF model is used to estimate the risk premium on the Greek stock index futures. ► The risk premium is mainly driven by its regional (European) component. ► The local (Greek) component is more important after the debt crisis in Greece. ► The decoupling-recoupling hypothesis does not apply to the risk premium.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
Financial crises, the decoupling-recoupling hypothesis, and the risk premium on the Greek stock index futures market
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