Modelling volatility and testing for efficiency in emerging capital markets: the case of the Athens stock exchange
AbstractThis study employs GARCH type models and tests for their validity over an Emerging Capital Market, the Athens Stock Exchange Market (ASE). Correct specification, of the different models, implies that the Weak Efficient Market Hypothesis does not hold for ASE. There is strong empirical evidence that ASE follows a pattern where last period's daily returns are correlated with today's returns and current volatility is positively related to past realizations. Negative shocks have an asymmetric impact on the daily stock returns series and political instabilities increase volatility over time. The mean of the series does not change during high volatile periods.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Financial Economics.
Volume (Year): 12 (2002)
Issue (Month): 1 ()
Contact details of provider:
Web page: http://www.tandfonline.com/RAFE20
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Caiado, Jorge, 2004.
"Modelling and forecasting the volatility of the portuguese stock index PSI-20,"
2077, University Library of Munich, Germany.
- Jorge Caiado, 2004. "Modelling And Forecasting The Volatility Of The Portuguese Stock Index Psi-20," Portuguese Journal of Management Studies, ISEG, Technical University of Lisbon, vol. 0(1), pages 3-21.
- Laopodis, Nikiforos T., 2004. "Financial market liberalization and stock market efficiency: Evidence from the Athens Stock Exchange," Global Finance Journal, Elsevier, vol. 15(2), pages 103-123, August.
- Theodore Panagiotidis, 2005. "Market capitalization and efficiency. Does it matter? Evidence from the Athens Stock Exchange," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 15(10), pages 707-713.
- Athanassiou, Emmanuel & Kollias, Christos & Syriopoulos, Theodore, 2006. "Dynamic volatility and external security related shocks: The case of the Athens Stock Exchange," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 16(5), pages 411-424, December.
- Anastassios A. Drakos & Georgios P. Kouretas & Leonidas P. Zarangas, 2010. "Forecasting financial volatility of the Athens stock exchange daily returns: an application of the asymmetric normal mixture GARCH model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 15(4), pages 331-350.
- Cajueiro, Daniel O. & Gogas, Periklis & Tabak, Benjamin M., 2009. "Does financial market liberalization increase the degree of market efficiency? The case of the Athens stock exchange," International Review of Financial Analysis, Elsevier, vol. 18(1-2), pages 50-57, March.
- Karampinis, Nikolaos I. & Hevas, Dimosthenis L., 2011. "Mandating IFRS in an Unfavorable Environment: The Greek Experience," The International Journal of Accounting, Elsevier, vol. 46(3), pages 304-332, September.
- David Chappell & Theodore Panagiotidis, 2005. "Using the correlation dimension to detect non-linear dynamics: Evidence from the Athens Stock Exchange," Econometrics, EconWPA 0504005, EconWPA.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.