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Identifier

000424101

Title

Impacts of economic news on greek stock market indices according to Copula approach

Alternative Title

Επιδράσεις οικονομικών ειδήσεων στους ελληνικούς χρηματιστηριακούς δείκτες σύμφωνα με την προσέγγιση Copula

Author

Κουτσάκη, Μαρία Ι.

Thesis advisor

Τζίνιους Μαργαρίτα

Reviewer

Τσερκέζος, Δικαίος
Τσιώτας Γιώργος

Abstract

The present research examines the joint relationship between the macroeconomic news announcements released each month and the Greek stock market index FTSE/XA Large Cap, using the statistical theory of copulas and the news index. The gathered news announcements were about unemployment, building activity and industrial activity for the years 2006 to 2018. The news index is a comparison measure of positive and negative news whose computation is based on the methodology used for the consumer sentiment index proposed by University of Michigan. Copulas on the other hand, model the dependence between variables, in this case between the news announcements and the Greek stock market index FTSE/XA Large Cap. To this effect several copulas are analyzed which allow different types of dependence. The results for all copulas show that there is no dependence between the two series which could be due to the small number of Greek news releases.

Language

Greek

Subject

Building activity

FTSE/XA

Industrial activity

Uneployment

Ανεργία

Βιομηχανική δραστηριότητα

Οικοδομική δραστηριότητα

Issue date

2019-03-12