An international conference on Banks, Financial Markets and Institutions in Europe was held at the University of Southampton, UK, in association with the Journal of International Money.
Dr Antonis Alexandridis presented a paper “Global Financial Crisis and Multi-scale Systematic Risk: Evidence from Selected European Markets” in an international conference on global financial crisis. The conference “The impact of Global Financial Crisis: on Banks, Financial Markets and Institutions in Europe” was held at the university of Southampton, UK in association with the Journal of International money and Finance.
The paper, investigates the impact of the crisis on the stock markets of selected European markets within the framework of Capital Asset Pricing Model. The behavior and performance of the CAPM during the pre-crisis, crisis, and two post-crisis periods provides a convenient and powerful framework for an empirical assessment of the impact of the crisis on the European stock markets. Given the mixed results regarding the inference about the CAPM and betas, and the multi-scale nature of the systematic risk, a recent and powerful method was employed to estimate the systematic risk of CAPM using wavelet analysis to examine the meteor shower effects of the global financial crisis on selected European stock markets. The results support the CAPM at medium scales, however, the behavior of beta is found to be different for the two groups. Finally, the was estimated at different time-scales for the four time-periods. The results also indicate that for all periods the risk is concentrated at higher frequencies (lower scales) of the data. Moreover, the was increased for all countries during the crisis and the two post-crisis periods however the difference between the two groups is evident.