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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
Industrial activity
Βιομηχανική δραστηριότητα
Οικοδομική δραστηριότητα
Issue date 2019-03-12
Collection   Faculty/Department--Faculty of Social Sciences--Department of Economics--Post-graduate theses
  Type of Work--Post-graduate theses
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