An investigation of cointegration and casualty relationships between the PIIGS' stock markets

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 exami...

Full description

Saved in:
Bibliographic Details
Published in:European research studies 2014, Vol.17 (2), p.109
Main Authors: Christopoulos, Apostolos G, Papathanasiou, Spyros, Kalantonis, Petros, Chouliaras, Andreas, Katsikides, Savvas
Format: Article
Language:English
Subjects:
Economic growth
Forecasts and trends
Investigations
Statistics
Stock markets
Stock prices
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
cited_by
cites
container_end_page
container_issue 2
container_start_page 109
container_title European research studies
container_volume 17
creator Christopoulos, Apostolos G
Papathanasiou, Spyros
Kalantonis, Petros
Chouliaras, Andreas
Katsikides, Savvas
description 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.
format article
fullrecord <record><control><sourceid>gale</sourceid><recordid>TN_cdi_gale_infotracacademiconefile_A415696722</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><galeid>A415696722</galeid><sourcerecordid>A415696722</sourcerecordid><originalsourceid>FETCH-LOGICAL-g211t-e22d1dda349a5892fa85a159dc1e784f09de4455d4ff1e1d342c3cf9f24be63e3</originalsourceid><addsrcrecordid>eNpNj09Lw0AQxfegYIn9DnvzYiT7J2n2GIrWQkFBPYpMd2eTtelGMlvFb2-0HsqD9-DHm4F3xmZCFHUuzaK6YHOi96IoRLGQUukZe20iD_ETKYUWUhgiHzy3Q4gJ2_EIIDpugQ7Qp28-Yv9HqQsfxLeYvhAjTx3yx_V69XTFKQ12x_cw7jDRJTv30BPO_zNjL3e3z8v7fPOwWi-bTd5KIVKOUjrhHChtoKyN9FCXIErjrMBFrX1hHGpdlk57L1A4paVV1hsv9RYrhSpjN8e_LfT4FqIf0gh2ksN9sENEHybeaFFWpvpdnrHrk4PtgUJEmoxC2yVq4UB0Wv8BpkJkBQ</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype></control><display><type>article</type><title>An investigation of cointegration and casualty relationships between the PIIGS' stock markets</title><source>EconLit s plnými texty</source><source>ABI/INFORM Global</source><creator>Christopoulos, Apostolos G ; Papathanasiou, Spyros ; Kalantonis, Petros ; Chouliaras, Andreas ; Katsikides, Savvas</creator><creatorcontrib>Christopoulos, Apostolos G ; Papathanasiou, Spyros ; Kalantonis, Petros ; Chouliaras, Andreas ; Katsikides, Savvas</creatorcontrib><description>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.</description><identifier>ISSN: 1108-2976</identifier><language>eng</language><publisher>International Strategic Management Association</publisher><subject>Economic growth ; Forecasts and trends ; Investigations ; Statistics ; Stock markets ; Stock prices</subject><ispartof>European research studies, 2014, Vol.17 (2), p.109</ispartof><rights>COPYRIGHT 2014 International Strategic Management Association</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><link.rule.ids>314,780,784,4022</link.rule.ids></links><search><creatorcontrib>Christopoulos, Apostolos G</creatorcontrib><creatorcontrib>Papathanasiou, Spyros</creatorcontrib><creatorcontrib>Kalantonis, Petros</creatorcontrib><creatorcontrib>Chouliaras, Andreas</creatorcontrib><creatorcontrib>Katsikides, Savvas</creatorcontrib><title>An investigation of cointegration and casualty relationships between the PIIGS' stock markets</title><title>European research studies</title><description>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.</description><subject>Economic growth</subject><subject>Forecasts and trends</subject><subject>Investigations</subject><subject>Statistics</subject><subject>Stock markets</subject><subject>Stock prices</subject><issn>1108-2976</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2014</creationdate><recordtype>article</recordtype><recordid>eNpNj09Lw0AQxfegYIn9DnvzYiT7J2n2GIrWQkFBPYpMd2eTtelGMlvFb2-0HsqD9-DHm4F3xmZCFHUuzaK6YHOi96IoRLGQUukZe20iD_ETKYUWUhgiHzy3Q4gJ2_EIIDpugQ7Qp28-Yv9HqQsfxLeYvhAjTx3yx_V69XTFKQ12x_cw7jDRJTv30BPO_zNjL3e3z8v7fPOwWi-bTd5KIVKOUjrhHChtoKyN9FCXIErjrMBFrX1hHGpdlk57L1A4paVV1hsv9RYrhSpjN8e_LfT4FqIf0gh2ksN9sENEHybeaFFWpvpdnrHrk4PtgUJEmoxC2yVq4UB0Wv8BpkJkBQ</recordid><startdate>2014</startdate><enddate>2014</enddate><creator>Christopoulos, Apostolos G</creator><creator>Papathanasiou, Spyros</creator><creator>Kalantonis, Petros</creator><creator>Chouliaras, Andreas</creator><creator>Katsikides, Savvas</creator><general>International Strategic Management Association</general><scope>N95</scope></search><sort><creationdate>2014</creationdate><title>An investigation of cointegration and casualty relationships between the PIIGS' stock markets</title><author>Christopoulos, Apostolos G ; Papathanasiou, Spyros ; Kalantonis, Petros ; Chouliaras, Andreas ; Katsikides, Savvas</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-g211t-e22d1dda349a5892fa85a159dc1e784f09de4455d4ff1e1d342c3cf9f24be63e3</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2014</creationdate><topic>Economic growth</topic><topic>Forecasts and trends</topic><topic>Investigations</topic><topic>Statistics</topic><topic>Stock markets</topic><topic>Stock prices</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Christopoulos, Apostolos G</creatorcontrib><creatorcontrib>Papathanasiou, Spyros</creatorcontrib><creatorcontrib>Kalantonis, Petros</creatorcontrib><creatorcontrib>Chouliaras, Andreas</creatorcontrib><creatorcontrib>Katsikides, Savvas</creatorcontrib><collection>Gale Business: Insights</collection><jtitle>European research studies</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Christopoulos, Apostolos G</au><au>Papathanasiou, Spyros</au><au>Kalantonis, Petros</au><au>Chouliaras, Andreas</au><au>Katsikides, Savvas</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>An investigation of cointegration and casualty relationships between the PIIGS' stock markets</atitle><jtitle>European research studies</jtitle><date>2014</date><risdate>2014</risdate><volume>17</volume><issue>2</issue><spage>109</spage><pages>109-</pages><issn>1108-2976</issn><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.</abstract><pub>International Strategic Management Association</pub></addata></record>
fulltext fulltext
identifier ISSN: 1108-2976
ispartof European research studies, 2014, Vol.17 (2), p.109
issn 1108-2976
language eng
recordid cdi_gale_infotracacademiconefile_A415696722
source EconLit s plnými texty; ABI/INFORM Global
subjects Economic growth
Forecasts and trends
Investigations
Statistics
Stock markets
Stock prices
title An investigation of cointegration and casualty relationships between the PIIGS' stock markets
url http://sfxeu10.hosted.exlibrisgroup.com/loughborough?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-01-11T03%3A57%3A26IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-gale&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=An%20investigation%20of%20cointegration%20and%20casualty%20relationships%20between%20the%20PIIGS'%20stock%20markets&rft.jtitle=European%20research%20studies&rft.au=Christopoulos,%20Apostolos%20G&rft.date=2014&rft.volume=17&rft.issue=2&rft.spage=109&rft.pages=109-&rft.issn=1108-2976&rft_id=info:doi/&rft_dat=%3Cgale%3EA415696722%3C/gale%3E%3Cgrp_id%3Ecdi_FETCH-LOGICAL-g211t-e22d1dda349a5892fa85a159dc1e784f09de4455d4ff1e1d342c3cf9f24be63e3%3C/grp_id%3E%3Coa%3E%3C/oa%3E%3Curl%3E%3C/url%3E&rft_id=info:oai/&rft_id=info:pmid/&rft_galeid=A415696722&rfr_iscdi=true