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Mean and variance causality between the Cyprus Stock Exchange and major equity markets

Author

Listed:
  • Eleni Constantinou

    (Department of Accounting and Finance, The Philips College, 4-6 Lamias Street, CY-2100, Nicosia,)

  • Robert Georgiades

    (Department of Accounting and Finance, The Philips College, 4-6 Lamias Street, CY-2100, Nicosia,)

  • Avo Kazandjian

    (Department of Business Studies, The Philips College, 4-6 Lamias Street, CY-2100, Nicosia, Cyprus.)

  • George Kouretas

    (Department of Economics, University of Crete, Greece)

Abstract
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.

Suggested Citation

  • Eleni Constantinou & Robert Georgiades & Avo Kazandjian & George Kouretas, 2005. "Mean and variance causality between the Cyprus Stock Exchange and major equity markets," Working Papers 0501, University of Crete, Department of Economics.
    • Handle: RePEc:crt:wpaper:0501
    as

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    File URL: http://economics.soc.uoc.gr/wpa/docs/CSE2.pdf
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    References listed on IDEAS

    as
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    Cited by:

    1. Kritika Mathur & Nidhi Kaicker & Raghav Gaiha & Katsushi S. Imai & Ganesh Thapa, 2014. "Financialisation of food commodity markets, price surge and volatility: new evidence," Chapters, in: Raghbendra Jha & Raghav Gaiha & Anil B. Deolalikar (ed.), Handbook on Food, chapter 7, pages 149-176, Edward Elgar Publishing.
    2. Paolo Guarda & Abdelaziz Rouabah, 2015. "Is the financial sector Luxembourg?s engine of growth?," BCL working papers 97, Central Bank of Luxembourg.
    3. Eleni Constantinou & Avo Kazandjian & Georgios P. Kouretas & Vera Tahmazian, 2008. "Common Stochastic Trends Among The Cyprus Stock Exchange And The Ase, Lse And Nyse," Bulletin of Economic Research, Wiley Blackwell, vol. 60(4), pages 327-349, October.
    4. Ginny ju-ann Yang & Koyin Chang & Yung-Hsiang Ying & Chen-hsun Lee, 2014. "Spillover Effects of Chinese Stock Markets," Economics Bulletin, AccessEcon, vol. 34(1), pages 200-205.

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    More about this item

    Keywords

    Causality; cross-correlation function; EGARCH-M; equity market;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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