An Investigation of Cointegration and Casualty Relationships between the PIIGS' Stock Markets

Stock Markets European Research Studies, Volume XVII, Issue 2, pp. 109-123, 2014

15 Pages Posted: 2 Jun 2017

See all articles by Apostolos G. Christopoulos

Apostolos G. Christopoulos

National and Kapodistrian University of Athens - Faculty of Economics

Spyros Papathanasiou

National and Kapodistrian University of Athens

Petros Kalantonis

Technological Educational Institute (TEI) of Piraeus

Andreas Chouliaras

Piraeus Bank

Savvas Katsikidis

University of Cyprus

Date Written: 2014

Abstract

The purpose of this paper is to test whether cointegration and causality relationships exists among the Europrean Stock Markets come to be known as the PIIGS, an acronym for Portugal, Italy, Ireland, Greece and Spain. By testing whether such kind of relationships exist among these stock markets, the Efficient Market Hypothesis is also being tested. Possible evidence of cointegration among these stock markets will show that the advantages one might have by internationally diversifying over these countries, are not significant. Furthermore, it will show that the selection of an optimal portfolio in an international level is not an easy case. Especially at this moment, investigating the financial markets of the PIIGS is extremely important, since Europe faces the most severe financial crisis of its history.

Keywords: Stock Markets, Cointegration, Granger Causality, PIIGS, EMH

JEL Classification: C22, F36, G15, O16, P59

Suggested Citation

Christopoulos, Apostolos G. and Papathanasiou, Spyros and Kalantonis, Petros and Chouliaras, Andreas and Katsikidis, Savvas, An Investigation of Cointegration and Casualty Relationships between the PIIGS' Stock Markets (2014). Stock Markets European Research Studies, Volume XVII, Issue 2, pp. 109-123, 2014. Available at SSRN: https://ssrn.com/abstract=2526094

Apostolos G. Christopoulos

National and Kapodistrian University of Athens - Faculty of Economics ( email )

5 Stadiou Str
Athens, 15262
Greece

Spyros Papathanasiou (Contact Author)

National and Kapodistrian University of Athens ( email )

1, Sofokleous Str.
Athens, 10559
Greece

Petros Kalantonis

Technological Educational Institute (TEI) of Piraeus ( email )

250 Thivon & P. Ralli str
Egaleo
Greece

Andreas Chouliaras

Piraeus Bank ( email )

Savvas Katsikidis

University of Cyprus ( email )

75 Kallipoleos Street
Nicosia CY 1678, Nicosia P.O. Box 2
Cyprus

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