English, Article, Journal or magazine article edition: Mean and variance causality between the Cyprus Stock Exchange and major equity markets Georgios Kouretas; Eleni Constantinou; Robert Georgiades; ...

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Bookmark: http://trove.nla.gov.au/version/34825
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Mean and variance causality between the Cyprus Stock Exchange and major equity markets
Author
  • Georgios Kouretas
  • Eleni Constantinou
  • Robert Georgiades
  • Avo Kazandjian
  • George Kouretas
Physical Description
  • preprint
Notes
  • RePEc:mmf:mmfc05:24
  • This paper examines the issue of mean and variance causality across four equities markets using daily data for the period 1996-2002. We apply the testing procedure developed by Cheung and Ng (1996) in order to test for mean and variance spillovers. The main findings are: (i) In contrast to the findings of previous studies, EGARCH-M processes characterize each stock returns series in all markets; (ii) There is substantial evidence of causality in both mean and variance with the causality in mean largely being driven by the causality in variance; and (iii) The results indicate the stock markets of Athens, London and New York are the major exporters of causality and the stock market of Cyprus is an importer of causality.
  • Causality, cross-correlation function, EGARCH-M, equity market,
  • RePEc:crt:wpaper:0501
Language
  • English
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