Unit:
Κατεύθυνση ΧρηματοοικονομικήLibrary of the Faculty of Economics and of the Faculty of Business Administration
Supervisors info:
Δημήτριος Καινούργιος,Αναπληρωτής Καθηγητής, Τμήμα Οικονομικών Επιστημών, ΕΚΠΑ
Original Title:
Financial crisis contagion through ETFs
Translated title:
Financial crisis contagion through ETFs
Summary:
This paper investigates the contagion effects of the Global Financial Crisis (August 2007- March 2009) and the European Sovereign Debt Crisis (November 2009- March 2016) by examining fifteen sectoral ETFs and 5 regional ETFs. A Dynamic Conditional Correlation (DCC) model is used to test the time-varying conditional correlation among a pair of ETFs each time. Evidence show that there is contagion effect for the regional and sectoral ETFs, except the USA regional ETF, during both crisis periods. Moreover, we examine the impact of several control variables, which represent various risks, to the correlation of each pair of ETFs and the results show the influence of the interest rate risk and interbank liquidity risk during the Global Financial Crisis and the European Sovereign Debt Crisis.
Main subject category:
Social, Political and Economic sciences
Keywords:
ETF; contagion; GFC; ESDC, DCC-GARC
