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- Title
WHAT IS THE CAUSAL RELATIONSHIP BETWEEN STOXX EUROPE 600 SECTORS? BUT BETWEEN LARGE FIRMS AND SMALL FIRMS?
- Authors
BADEA, Leonardo; IONESCU, Valentin; GUZUN, Adina-Alexandra
- Abstract
This paper aims to establish whether there is a relationship between the main industries of the STOXX EURO 600 index. Another research question is addressed in this article: what is the link between small and large firms? In order to answer these two questions, we will use various econometric models such as VAR-impulse response functions, Granger causality tests and GARCH models for modeling the volatility. The empirical results pointed out a positive relationship between all the sectors selected and STOXX 600 index. The Granger causality test showed a unidirectional causal relationship from the insurance sector to STOXX 600 and a bidirectional causal relationship between automobiles & parts, construction and material components, retail, telecommunications, utilities and STOXX600. We strongly believe that through our results we will help investors in their decision-making process, academic research and the policy makers and will improve supervisory process.
- Subjects
EUROPE; GRANGER causality test; IMPULSE response; ECONOMETRIC models; GARCH model; CONSTRUCTION materials; PREFABRICATED buildings
- Publication
Economic Computation & Economic Cybernetics Studies & Research, 2019, Vol 53, Issue 3, p5
- ISSN
0424-267X
- Publication type
Article
- DOI
10.24818/18423264/53.3.19.01