Πλοήγηση ανά Συγγραφέας "Georgakis, Spyridon"

Τώρα δείχνει 1 - 1 of 1
  • Μικρογραφία εικόνας
    Τεκμήριο
    Derivatives market before and after the financial crisis.
    (ΕΛ.ΜΕ.ΠΑ., ΔΠΜΣ Οργάνωση και Διοίκηση για Μηχανικούς, 2020-10-19) Georgakis, Spyridon; Γεωργάκης, Σπυρίδων
    Volatility in financial markets plays a very important role in making or wrecking the fortunes of investors. The study of volatility has attracted growing attention by researchers and policy makers since it is a measurement of risk, especially during extreme conditions such as financial crisis. This thesis through four models based on the opening, closing, high and low prices analyses and compares the volatility before and after the financial crisis of 2008. The global financial crisis initiated in the United States in early 2008 and then the financial meltdown had spread to the rest of the world. The study has been conducted on NASDAQ-100, FTSE-100 spot price indices, E-mini NASDAQ-100 and FTSE-100 Index Future futures price indices. Furthermore, this thesis examines the existence of the ‘monthly effect’ on returns and in volatility in U.S. and UK spot and futures markets between January 2006 and March 2019. The data have been partitioned into two sub-periods which allowed us to test the presence of monthly effect on returns or in volatility over the periods of pre-crisis (pre-2008) and post-crisis (post-2008). The sample employed in this dissertation comprise 3333 daily observations on NASDAQ-100, FTSE-100 spot price indices, E-mini NASDAQ-100 and FTSE-100 Index Future futures price indices. The set period of study was from 3 January 2006 to 4 March 2019. The results show that a simple measure of volatility (defined as the logarithmic difference between the high and low prices) overestimates the other three volatility estimators. The means of volatility estimators seem to have higher values during post-2008 period compared to pre-2008 period. Furthermore, the results from an OLS model show that there is no January effect in the UK and the US during the entire period and the two sub-periods. Regarding the impact of January effect in volatility of spot and futures indices, the hypothesis of January effect in volatility is accepted for FTSE-100 cash and stock index futures markets over the sub-period 2006-2007.