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Stock Market Volatility in an Emerging Market: Further Evidence from the Athens Stock Exchange

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  • Georgios E. Chortareas
  • John B. McDermott
  • Titos E. Ritsatos

Abstract

We investigate the time series properties of the daily and weekly returns from the Athens Stock Exchange (ASE) index for the years 1987 to 1997. We investigate whether important time‐series characteristics have changed significantly over time. The Greek market has recently undergone major changes including complete capital flow liberalization, the implementation of computerized trading, as well as significant increases in market volume and capitalization; we thus contrast the 1987–90 and 1991–97 periods. Our findings suggest the dynamics of the ASE composite index returns have changed as the market has developed.

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  • Georgios E. Chortareas & John B. McDermott & Titos E. Ritsatos, 2000. "Stock Market Volatility in an Emerging Market: Further Evidence from the Athens Stock Exchange," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 27(7‐8), pages 983-1002, September.
    • Handle: RePEc:bla:jbfnac:v:27:y:2000:i:7-8:p:983-1002
    DOI: 10.1111/1468-5957.00342
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    Cited by:

    1. Evangelos Drimbetas & Nikolaos Sariannidis & Nicos Porfiris, 2007. "The effect of derivatives trading on volatility of the underlying asset: evidence from the Greek stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 17(2), pages 139-148.
    2. Dimitrios I. Vortelinos & Dimitrios D. Thomakos, 2012. "Realized volatility and jumps in the Athens Stock Exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 22(2), pages 97-112, January.
    3. Drakos, Konstantinos & Kutan, Ali M., 2001. "Opposites attract: The case of Greek and Turkish financial markets," ZEI Working Papers B 06-2001, University of Bonn, ZEI - Center for European Integration Studies.
    4. Dimitrios D. Thomakos & Michail S. Koubouros, 2011. "The Role of Realised Volatility in the Athens Stock Exchange," Multinational Finance Journal, Multinational Finance Journal, vol. 15(1-2), pages 87-124, March - J.
    5. Ioannis A. Tampakoudis & Demetres N. Subeniotis & Ioannis G. Kroustalis, 2012. "Modelling volatility during the current financial crisis: an empirical analysis of the US and the UK stock markets," International Journal of Trade and Global Markets, Inderscience Enterprises Ltd, vol. 5(3/4), pages 171-194.
    6. Louis Cheng & Jay White, 2003. "Measuring Pricing Inefficiencies Under Stressful Market Conditions," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 30(3‐4), pages 383-411, April.
    7. repec:mfj:journl:v:16:y:2011:i:1-2:p:87-124 is not listed on IDEAS

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