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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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