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| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | Sovereign credit risk and stock market in Greece before and after the start of the crisis |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 43 |
| Date | 2019 |
| Abstract Text | This thesis investigates the stock market and the sovereign debt market in Greece before and after the start of the Greek crisis. First the relationship of the Greek stock market and the Greek sovereign debt market seems to be non-existent before the crisis, but after the crisis the Greek government bond spread over the German bonds becomes a main driver for the Greek stock returns. The analysis also shows that both markets moved at the same time and there was no leading market in terms of information ow. Before the start of the Greek crisis the Greek government debt was assumed to be risk free from the market participants since Greece was part of the Eurozone. After the continuous large de cits of the Greek state, it became clear that the sovereign debt of Greece is not risk free. This is also proved from an analysis of a large number of economic variables, which shows that none of these variables afected the Greek government spread before the crisis. After the start of the crisis, net trade was the main determinant of the Greek government spread. The same analysis shows that the stock market returns were mainly driven by the unemployment rate in Greece after the start of the crisis. |
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