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

European Research Studies, Vol XVII, Issue (2), 2014 pp. 109-123

15 Pages Posted: 12 Jan 2015

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 aim of this paper is to investigate the relationship of price changes in the southern European E.U. member states through their stock markets and especially among the exchange markets of Portugal, Italy, Ireland, Greece and Spain, known also as the PIIGS countries. More specifically, it is examined whether cointegration and causality relationships exists among the PIIGS’ Stock Markets while by testing these relationships the existence of the Efficient Market Hypothesis (EMH) among these stock markets is also tested. In case of cointegration relationships between these markets it is proved that possible advantages by internationalizing portfolio diversification are limited and further attention must be given for the selection of an internationalized optimal portfolio. It is also wealth mentioning that since 2012 Europe faces a serious economic crisis which is deeper in the member states of the South, so even further attention must be given to the construction of optimal portfolios.

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

JEL Classification: C22, F36, G10, G11

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). European Research Studies, Vol XVII, Issue (2), 2014 pp. 109-123. Available at SSRN: https://ssrn.com/abstract=2548388

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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