International Transmission of Information: A Study of the Relationship between the U.S. And Greek Stock Markets

• Main Authors: WU, Chunchi, Niarchos, N., Tse, Y., Young, Allan
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 1999
• Subjects: Business
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/847
• Institution: Singapore Management University

This article investigates the international information transmission between the US and Greek stock markets using daily data from the Athens Stock Exchange and the S&P 500 Index returns. The results show no spillovers between these 2 markets for the conditional mean and variance. Also, the cointegration test shows that these 2 markets are not driven by a common trend. It appears that the US and Greek stock markets are not related to each other, either in the short-run or in the long-run. The evidence shows that the US market does not have a strong influence on the Greek stock market.