1. OAR@UM
  2. External Research Collection
  3. Social Sciences
  4. Finance
  5. European Research Studies Journal
  6. 2000
  7. European Research Studies Journal, Volume 3, Issue 3-4
Please use this identifier to cite or link to this item: https://www.um.edu.mt/library/oar/handle/123456789/30874
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dc.contributor.authorKyrtsou, Catherine-
dc.contributor.authorTerraza, Virginie-
dc.date.accessioned2018-06-12T05:19:57Z-
dc.date.available2018-06-12T05:19:57Z-
dc.date.issued2000-
dc.identifier.citationKyrtsou, 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.en_GB
dc.identifier.issn11082976-
dc.identifier.urihttps://www.um.edu.mt/library/oar//handle/123456789/30874-
dc.description.abstractIn 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.en_GB
dc.language.isoenen_GB
dc.publisherUniversity of Piraeus. International Strategic Management Associationen_GB
dc.rightsinfo:eu-repo/semantics/openAccessen_GB
dc.subjectStock exchanges -- Greece -- Case studiesen_GB
dc.subjectCapital market -- Greeceen_GB
dc.subjectGARCH modelen_GB
dc.titleVolatility behaviour in emerging markets : a case study of the Athens stock exchange, using daily and intra-daily dataen_GB
dc.typearticleen_GB
dc.rights.holderThe copyright of this work belongs to the author(s)/publisher. The rights of this work are as defined by the appropriate Copyright Legislation or as modified by any successive legislation. Users may access this work and can make use of the information contained in accordance with the Copyright Legislation provided that the author must be properly acknowledged. Further distribution or reproduction in any format is prohibited without the prior permission of the copyright holder.en_GB
dc.description.reviewedpeer-revieweden_GB
dc.publication.titleEuropean Research Studies Journalen_GB
Appears in Collections:European Research Studies Journal, Volume 3, Issue 3-4

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