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Nonlinearity in high-frequency stock returns: Evidence from the Athens Stock Exchange

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  • Anagnostidis, Panagiotis
  • Emmanouilides, Christos J.

Abstract

This study investigates empirically the presence of nonlinearities in the Athens Composite Share Price Index high-frequency returns. A preliminary analysis indicates that volatility exhibits a periodic intraday inverse J-shaped pattern, associated with the opening and closing of the market. Periodicity is then removed employing a Flexible Fourier Form. Subsequently, an ARMA–FIGARCH model over several frequencies yields that return volatility is long memory and self-similar. Nonlinear analysis with the use of the embedding dimension suggests that the filtered return process does not exhibit deterministic or higher-order stochastic nonlinearity. Rather, it is reminiscent of a random process. We conclude that the ACSPI data are nonlinear; however, nonlinearity is attributed to persistent ARCH effects.

Suggested Citation

  • Anagnostidis, Panagiotis & Emmanouilides, Christos J., 2015. "Nonlinearity in high-frequency stock returns: Evidence from the Athens Stock Exchange," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 421(C), pages 473-487.
  • Handle: RePEc:eee:phsmap:v:421:y:2015:i:c:p:473-487
    DOI: 10.1016/j.physa.2014.11.056
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    Cited by:

    1. Aviral Kumar Tiwari & Rangan Gupta & Stelios Bekiros, 2016. "Chaos in G7 Stock Markets using Over One Century of Data: A Note," Working Papers 201678, University of Pretoria, Department of Economics.
    2. BenSaïda, Ahmed & Slim, Skander, 2016. "Highly flexible distributions to fit multiple frequency financial returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 442(C), pages 203-213.
    3. repec:eee:phsmap:v:497:y:2018:i:c:p:41-51 is not listed on IDEAS
    4. Jovanovic, Franck & Schinckus, Christophe, 2017. "Econophysics and Financial Economics: An Emerging Dialogue," OUP Catalogue, Oxford University Press, number 9780190205034.

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