JOAMS 2022 Vol.10(1): 27-35
doi: 10.18178/joams.10.1.27-35
doi: 10.18178/joams.10.1.27-35
Eurozone Crisis, Policy Actions and Financial Market Volatility
Meng Li
Meng Li is with Queen Mary University of London, UK
Abstract—After the outbreak of the Eurozone crisis, the overall stability of the euro area was undermined. European countries have adopted different policy actions. We analyzed the reaction of German, Spanish and Irish stock market indices to announcements of policy action between January 1, 2000 and December 31, 2016. Past papers have analyzed the impact of policy actions on financial markets and the economy of Europe as a whole. Our paper focuses on stock indices and establishes the relationship between stock indices and policy actions through the generalized autoregressive conditional heteroskedasticity (GARCH) model. Through the analysis of the model test results, we find that the policies issued after the eurozone crisis have no significant impact on the volatility of financial markets.
Copyright © 2022 by the authors. This is an open access article distributed under the Creative Commons Attribution License (CC BY-NC-ND 4.0), which permits use, distribution and reproduction in any medium, provided that the article is properly cited, the use is non-commercial and no modifications or adaptations are made.
Index Terms—Eurozone crisis, Policy action, Volatility, GARCH model
Cite: Meng Li, "Eurozone Crisis, Policy Actions and Financial Market Volatility," Journal of Advanced Management Science, Vol. 10, No. 1, pp. 27-35, March 2022. doi: 10.18178/joams.10.1.27-35
Copyright © 2022 by the authors. This is an open access article distributed under the Creative Commons Attribution License (CC BY-NC-ND 4.0), which permits use, distribution and reproduction in any medium, provided that the article is properly cited, the use is non-commercial and no modifications or adaptations are made.