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https://www.um.edu.mt/library/oar/handle/123456789/30874| Title: | Volatility behaviour in emerging markets : a case study of the Athens stock exchange, using daily and intra-daily data |
| Authors: | Kyrtsou, Catherine Terraza, Virginie |
| Keywords: | Stock exchanges -- Greece -- Case studies Capital market -- Greece GARCH model |
| Issue Date: | 2000 |
| Publisher: | University of Piraeus. International Strategic Management Association |
| Citation: | Kyrtsou, C., & Terraza, V. (2000). Volatility behaviour in emerging markets: a case study of the Athens Stock Exchange, using daily and intra-daily data. European Research Studies Journal, 3(3-4), 3-15. |
| Abstract: | In this paper we study the volatility behaviour, the aggregation effects and we investigate the nature of shocks coming disturb the Greek Market. To do so, we apply the ARCH LM, the fractional integration (Geweke and Porter-Hudak, 1983) and the R/S (Lo, 1991) tests, to daily and intra-daily data. The findings support trading-day effects in intra-daily series, and for this reason we prefer examining the source of shocks by estimating only the daily returns with a GARCH(p,q)-M model. The obtained results show that endogenous factors, such as local information, play a more important role in emerging that in developed Stock Exchanges. |
| URI: | https://www.um.edu.mt/library/oar//handle/123456789/30874 |
| ISSN: | 11082976 |
| Appears in Collections: | European Research Studies Journal, Volume 3, Issue 3-4 |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| Volatility_behaviour_in_emerging_markets_a_case_study_of_the_Athens stock_exchange_2000.pdf | 133 kB | Adobe PDF | View/Open |
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