This thesis attempts to examine whether there is a contagion on the stock markets of
Euro-zone countries stemming from the severe economic recession in Greece. To do
so, we also investigate whether the Google search queries about “grexit” can predict
the future prices movements of the Euro-zone stock markets. Therefore, we use not
only linear but also non-linear methodological framework in order to test if Google
search activity on the term “grexit” contains information about the movements of Euro-zone
market index prices. By implementing the Breitung and Candelon (2006) causality
test, we show that the Google search volume can reveal either short or long-run
linkages with the majority of the examined countries
Collections
Show Collections
