TY - JOUR
T1 - Financial crises, the decoupling-recoupling hypothesis, and the risk premium on the Greek stock index futures market
AU - Floros, Christos
AU - Kizys, Renatas
AU - Pierdzioch, Christian
PY - 2013/6
Y1 - 2013/6
N2 - Our results shed light on the contribution of local and regional factors to the risk premium on the Greek stock index futures market. Building upon the stochastic discount factor model, we estimate a multivariate exponential GARCH-in-mean model to uncover the risk premium on the FTSE/ASE-20 stock index futures traded in the ADEX, Greece. We provide evidence that the risk premium was mainly driven by its regional (European) component before the recent financial crisis. We also report that the local (Greek) component has become more important for the risk premium on the Greek stock index futures market after the recent debt crisis in Greece. Importantly, our results suggest that the decoupling-recoupling hypothesis, according to which the recent financial crisis has strengthened international financial links, does not apply to the risk premium on the stock index futures market. Rather, we report evidence consistent with a recoupling-decoupling hypothesis.
AB - Our results shed light on the contribution of local and regional factors to the risk premium on the Greek stock index futures market. Building upon the stochastic discount factor model, we estimate a multivariate exponential GARCH-in-mean model to uncover the risk premium on the FTSE/ASE-20 stock index futures traded in the ADEX, Greece. We provide evidence that the risk premium was mainly driven by its regional (European) component before the recent financial crisis. We also report that the local (Greek) component has become more important for the risk premium on the Greek stock index futures market after the recent debt crisis in Greece. Importantly, our results suggest that the decoupling-recoupling hypothesis, according to which the recent financial crisis has strengthened international financial links, does not apply to the risk premium on the stock index futures market. Rather, we report evidence consistent with a recoupling-decoupling hypothesis.
KW - Decoupling-recoupling hypothesis
KW - FTSE/ASE-20
KW - Greece
KW - Multivariate exponential GARCH-in-mean model
KW - Risk premium
KW - Stochastic discount factor model
KW - Stock index futures market
UR - http://www.scopus.com/inward/record.url?scp=84876324038&partnerID=8YFLogxK
U2 - 10.1016/j.irfa.2013.02.005
DO - 10.1016/j.irfa.2013.02.005
M3 - Article
AN - SCOPUS:84876324038
SN - 1057-5219
VL - 28
SP - 166
EP - 173
JO - International Review of Financial Analysis
JF - International Review of Financial Analysis
ER -