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Overreaction to the 2015 Greek debt crisis: a study on FTSE, CAC & DAXBerger, Antoine 26 September 2016 (has links)
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Previous issue date: 2016-09-26 / 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. / A crise grega aconteceu em um total de três picos, o último a acontecer durante o Verão de 2015. setores financeiros da Europa Ocidental, bem como os mercados financeiros em geral na Europa quase não foram atingidos apesar do fato de que os setores privados na Europa amplamente reduziram a sua exposição à Grécia . Neste trabalho de pesquisa, pretendemos testar a reação exagerada sobre o FTSE 100, DAX 30, e CAC40. A reação exagerada hipótese afirma que os índices de reagirem excessivamente exibir uma média assimétrica e variância. Nesta óptica, testamos para os modelos tipo de arco nos mercados citados anteriormente.
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