Volatility Behaviour in Emerging Markets: A Case Study of the Athens Stock Exchange, Using Daily and Intra-Daily Data
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.
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Bibliographic InfoArticle provided by European Research Studies Journal in its journal European Research Studies Journal.
Volume (Year): III (2000)
Issue (Month): 3-4 (July - December)
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aggregation; daily and intra-daily data; volatility; short and long memory; GARCH(p; q)-M model; emerging stock markets.;
Find related papers by JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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- Vortelinos, Dimitrios I., 2013. "Portfolio analysis of intraday covariance matrix in the Greek equity market," Research in International Business and Finance, Elsevier, vol. 27(1), pages 66-79.
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