Overreaction to the 2015 Greek debt crisis: a study on FTSE, CAC & DAX

• Ano de defesa: 2016
• Autor(a) principal: Berger, Antoine
• Orientador(a): Pereira, Pedro L. Valls, Pereira, João Pedro
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: eng
• Palavras-chave em Português: Finanças; Crise da dívida; Zona euro; Euro; Reação exagerada; Risco sistemático; Assimetria
• Palavras-chave em Inglês: Finance; Greece; Debt crisis; Eurozone; Equity markets; Overreaction; Systematic risk; Europe; Asymmetry
• Link de acesso: http://hdl.handle.net/10438/17320

The Greek crisis happened in a total of three peaks, the last one happening during the Summer 2015. Western European financial sectors as well as financial markets in general in Europe were hardly hit despite the fact that private sectors in Europe widely reduced their exposure to Greece. In this research paper, we aim to test for Overreaction on the FTSE 100, DAX 30, and CAC40. The Overreaction Hypothesis states that overreacting indices display an asymmetric mean and variance. In this optic, we test for ARCH type models on the previously cited markets.