Ilyes ABID, Professeur en finance d’entreprise, finance de marché et mathématiques financières à l’EM Normandie, a rédigé un article intitulé « Greece’s stock market Integration into Southeast Europe » en collaboration avec K. Guesmi et Z. Ftiti , article qui vient de paraître dans la revue Journal of Economic Integration (vol. 28, no. 4 - Rang CNRS: 3).
Résumé de l'article:
This paper analyzes the time-varying integration of the Greek stock market from a regional perspective by using a conditional version of the international capital asset pricing model (ICAPM) allowing for dynamic changes in the degree of market integration, regional market currency risk, and local market risk. We show that the prices of risk are extremely sensitive to major international crises in Asian and Latin American countries in 1997, 1998 and 2001. In addition, we show that the level of market openness and development of the stock market satisfactorily explain the time-varying degree of Greek stock market integration.
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