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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

    (Bank of England, London, UK,)

  • 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. Copyright Blackwell Publishers Ltd 2000.

Suggested Citation

  • 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.
  • Handle: RePEc:bla:jbfnac:v:27:y:2000-09:i:7&8:p:983-1002
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    Cited by:

    1. 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.
    2. 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.
    3. 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.
    4. repec:mfj:journl:v:16:y:2011:i:1-2:p:87-124 is not listed on IDEAS

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