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

Listed author(s):
  • Anagnostidis, Panagiotis
  • Emmanouilides, Christos J.

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.

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File URL: http://www.sciencedirect.com/science/article/pii/S0378437114010279
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Article provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.

Volume (Year): 421 (2015)
Issue (Month): C ()
Pages: 473-487

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Handle: RePEc:eee:phsmap:v:421:y:2015:i:c:p:473-487
DOI: 10.1016/j.physa.2014.11.056
Contact details of provider: Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/

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