Please use this identifier to cite or link to this item: https://www.um.edu.mt/library/oar/handle/123456789/30341
Title: Trading volume and volatility : intraday evidence from the Athens stock exchange
Authors: Agorastos, Constantinos
Chionis, Dionysios
Keywords: Stock exchanges -- Greece -- Athens
Economic development -- Greece
GARCH model
Issue Date: 1998-03
Publisher: University of Piraeus. International Strategic Management Association
Citation: Agorastos, C., & Chionis, D. (1998). Trading volume and volatility : intraday evidence from the Athens stock exchange. European Research Studies Journal, 1(2), 71-92.
Abstract: With the present paper we document some standard statistical properties and 'stylized' facts of volume and volatility of nine common shares traded in the Athens Stock Exchange (ASE) * * *. Using econometrical tools we investigate the relationship between volume and volatility attempting to find support for the Mixture of Distribution Hypothesis (MDH). Although the Granger-causality results can support a trading volume equation the well documented property of volatility clustering cannot be supported by the data. Furthermore, the trading volume seems to convey no information for the stock exchange participants. So we could cast doubt in the hypothesis proposed by Lamoureux and Lastrapes (1990).
URI: https://www.um.edu.mt/library/oar//handle/123456789/30341
ISSN: 11082976
Appears in Collections:European Research Studies Journal, Volume 1, Issue 2

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