Date of Award
Spring 5-2013
Degree Type
Dissertation-Restricted
Degree Name
Ph.D.
Degree Program
Financial Economics
Department
Economics and Finance
Major Professor
Naka, Atsuyuki
Second Advisor
Whitney, Gerald
Third Advisor
Davis, James
Fourth Advisor
Wang, Wei
Fifth Advisor
Zirek, Duygu
Abstract
The first part of this dissertation examines the presence of the financial contagion across European stock markets with respect to the Greece sovereign debt crisis by estimating the time-varying conditional correlations of stock returns between Greece and other European countries over 2001 to 2012. We find that the correlations vary over time and reach the peaks in the late 2008 during theU.S.subprime crisis, and in the beginning of 2010 of the height of European debt crisis. Further, the correlations between stock index returns of Greece and Spain, France, Ireland, Netherlands are significantly increased by Greek sovereign credit rating downgrade announcements.
The second part of this dissertation examines the correlations of gold, dollar and U.S. stock returns over 2001 to 2012 using ADCC-GARCH model. The conditional correlations of gold-dollar returns are negative during all sub-sample periods and significantly increase in magnitude during both subprime crisis and sovereign debt crisis. The conditional correlations of gold-stock returns are positive on average over time. However, gold-stock correlation falls below zero during subprime crisis and sovereign debt crisis. Gold-stock correlation is significantly negatively affected by positive CPI announcements. And gold-dollar correlation is significantly negatively affected by negative GDP announcements and positive unemployment announcements. The effects of macroeconomic announcements are stronger during economic recessions.
Recommended Citation
Li, Ziyu, "European Stock Market Contagion during Sovereign Debt Crisis and the Effects of Macroeconomic Announcements on the Correlations of Gold,Dollar and Stock Returns" (2013). University of New Orleans Theses and Dissertations. 1645.
https://scholarworks.uno.edu/td/1645
Rights
The University of New Orleans and its agents retain the non-exclusive license to archive and make accessible this dissertation or thesis in whole or part in all forms of media, now or hereafter known. The author retains all other ownership rights to the copyright of the thesis or dissertation.