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Dynamic volatility and external security related shocks: The case of the Athens Stock Exchange

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  • Athanassiou, Emmanuel
  • Kollias, Christos
  • Syriopoulos, Theodore

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Bibliographic Info

Article provided by Elsevier in its journal Journal of International Financial Markets, Institutions and Money.

Volume (Year): 16 (2006)
Issue (Month): 5 (December)
Pages: 411-424

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Handle: RePEc:eee:intfin:v:16:y:2006:i:5:p:411-424

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Web page: http://www.elsevier.com/locate/intfin

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References

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  1. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
  2. Sentana, Enrique, 1995. "Quadratic ARCH Models," Review of Economic Studies, Wiley Blackwell, vol. 62(4), pages 639-61, October.
  3. Lawrence R. Glosten & Ravi Jagannathan & David E. Runkle, 1993. "On the relation between the expected value and the volatility of the nominal excess return on stocks," Staff Report 157, Federal Reserve Bank of Minneapolis.
  4. Geert Bekaert & Campbell R. Harvey, 1997. "Emerging Equity Market Volatility," NBER Working Papers 5307, National Bureau of Economic Research, Inc.
  5. Olan Henry, 1998. "Modelling the asymmetry of stock market volatility," Applied Financial Economics, Taylor & Francis Journals, vol. 8(2), pages 145-153.
  6. Robert F. Engle & Victor K. Ng, 1991. "Measuring and Testing the Impact of News on Volatility," NBER Working Papers 3681, National Bureau of Economic Research, Inc.
  7. Chen, Gong-meng & Firth, Michael & Meng Rui, Oliver, 2002. "Stock market linkages: Evidence from Latin America," Journal of Banking & Finance, Elsevier, vol. 26(6), pages 1113-1141, June.
  8. Ratanapakorn, Orawan & Sharma, Subhash C., 2002. "Interrelationships among regional stock indices," Review of Financial Economics, Elsevier, vol. 11(2), pages 91-108.
  9. Engle, Robert F. & Mustafa, Chowdhury, 1992. "Implied ARCH models from options prices," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 289-311.
  10. Drakos, Konstantinos, 2004. "Terrorism-induced structural shifts in financial risk: airline stocks in the aftermath of the September 11th terror attacks," European Journal of Political Economy, Elsevier, vol. 20(2), pages 435-446, June.
  11. Ratna Sahay & Gaston Gelos, 2000. "Financial Market Spillovers in Transition Economies," IMF Working Papers 00/71, International Monetary Fund.
  12. Amihud, Yakov & Wohl, Avi, 2004. "Political news and stock prices: The case of Saddam Hussein contracts," Journal of Banking & Finance, Elsevier, vol. 28(5), pages 1185-1200, May.
  13. Chen, Andrew H. & Siems, Thomas F., 2004. "The effects of terrorism on global capital markets," European Journal of Political Economy, Elsevier, vol. 20(2), pages 349-366, June.
  14. Jurgen Brauer, 2002. "Survey and Review of the Defense Economics Literature on Greece and Turkey: What Have We Learned?," Defence and Peace Economics, Taylor & Francis Journals, vol. 13(2), pages 85-107.
  15. Rabemananjara, R & Zakoian, J M, 1993. "Threshold Arch Models and Asymmetries in Volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(1), pages 31-49, Jan.-Marc.
  16. Nelson, Daniel B., 1990. "Stationarity and Persistence in the GARCH(1,1) Model," Econometric Theory, Cambridge University Press, vol. 6(03), pages 318-334, September.
  17. Theodore Syriopoulos, 2004. "International portfolio diversification to Central European stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 14(17), pages 1253-1268.
  18. Gregorios Siourounis, 2002. "Modelling volatility and testing for efficiency in emerging capital markets: the case of the Athens stock exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 12(1), pages 47-55.
  19. Frey, Bruno S & Kucher, Marcel, 2001. "Wars and Markets: How Bond Values Reflect the Second World War," Economica, London School of Economics and Political Science, vol. 68(271), pages 317-333, August.
  20. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
  21. Harvey, Andrew & Ruiz, Esther & Shephard, Neil, 1994. "Multivariate Stochastic Variance Models," Review of Economic Studies, Wiley Blackwell, vol. 61(2), pages 247-64, April.
  22. Eldor, Rafi & Melnick, Rafi, 2004. "Financial markets and terrorism," European Journal of Political Economy, Elsevier, vol. 20(2), pages 367-386, June.
  23. Frey, Bruno S. & Kucher, Marcel, 2000. "World War II as reflected on capital markets," Economics Letters, Elsevier, vol. 69(2), pages 187-191, November.
  24. John Barkoulas & Nickolaos Travlos, 1998. "Chaos in an emerging capital market? The case of the Athens Stock Exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 8(3), pages 231-243.
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Citations

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Cited by:
  1. Stavroyiannis, S. & Makris, I. & Nikolaidis, V., 2010. "Non-extensive properties, multifractality, and inefficiency degree of the Athens Stock Exchange General Index," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 19-24, January.
  2. Kollias, Christos & Papadamou, Stephanos & Stagiannis, Apostolos, 2011. "Terrorism and capital markets: The effects of the Madrid and London bomb attacks," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 532-541, October.
  3. Konstantinos Drakos, 2011. "Security Economics: A Guide For Data Availability And Needs," Defence and Peace Economics, Taylor & Francis Journals, vol. 22(2), pages 147-159.
  4. Syriopoulos, Theodore & Roumpis, Efthimios, 2009. "Dynamic correlations and volatility effects in the Balkan equity markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(4), pages 565-587, October.
  5. Syriopoulos, Theodore, 2011. "Financial integration and portfolio investments to emerging Balkan equity markets," Journal of Multinational Financial Management, Elsevier, vol. 21(1), pages 40-54, February.

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