Dynamic Cointegrations Among European Stockmarkets

Management and Economics, Biannual Scientific Journal, Papazisis, Vol 3, Νο 3 pp 147-165 (2005)

17 Pages Posted: 11 Sep 2014 Last revised: 15 Sep 2014

See all articles by Spyros Papathanasiou

Spyros Papathanasiou

National and Kapodistrian University of Athens

Evagelos Kouravelos

University of Piraeus - Department of Banking and Financial Management

Kontastantinos Bourletidis

National and Kapodistrian University of Athens - School of Economics & Political Science

Date Written: 2005

Abstract

The main objective of this paper is to examine the existence of cointegration and causality among the major European stock market indices, like the CAC40 (France), the DAX30 (Germany), the SMI (Switzerland), the FTSE100 (England) and the General Index (Greece). The empirical proof of such an existence, would indicate that the movements of one or more indices play a major role in the European StockMarket causing in a bigger or smaller way parallel moves to the other indices. Through this examination of such relationships among the European Indices, the efficient market hypothesis is also being checked. Probable signs of cointegration among the stock markets will indicate that the bibliography references about the advantages of international diversification are exaggerated. In addition it will show that the selection of an optimum global portfolio is not an easy task and it needs careful consideration.

Suggested Citation

Papathanasiou, Spyros and Kouravelos, Evagelos and Bourletidis, Kontastantinos, Dynamic Cointegrations Among European Stockmarkets (2005). Management and Economics, Biannual Scientific Journal, Papazisis, Vol 3, Νο 3 pp 147-165 (2005), Available at SSRN: https://ssrn.com/abstract=2494816

Spyros Papathanasiou (Contact Author)

National and Kapodistrian University of Athens ( email )

1, Sofokleous Str.
Athens, 10559
Greece

Evagelos Kouravelos

University of Piraeus - Department of Banking and Financial Management ( email )

80 Karaoli & Dimitriou Str.
18534 Piraeus, 185 34 -GR
Greece

Kontastantinos Bourletidis

National and Kapodistrian University of Athens - School of Economics & Political Science ( email )

Athens
Greece

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