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Journal of Economic Integration 2013 December;28(4) :667-681.
Greece’s Stock Market Integration with Southeast Europe

Khaled Guesmi Zied Ftiti Ilyes Abid 

IPAG Business School & EconomiX (UMR CNRS 7235)University of Paris West- La Défense, France
IPAG Business School, Paris, France
EM-Normandie, Le Havre, France
Corresponding Author: Khaled Guesmi ,Tel: +33 01550440, Fax: +33 0145444046, Email:
Copyright ©2013 Journal of Economic Integration
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 economic and political events such as the different monetary and financial 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.

JEL Classification
G12: Asset Pricing; Trading volume; Bond Interest Rates
F31: Foreign Exchange
C32: Time Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
Keywords: International Capital Asset Pricing Model(ICAPM) | Market Integration | Exchange Rate Risk
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