IDEAS home Printed from https://ideas.repec.org/a/ers/journl/viiiy2000i3-4p3-16.html
   My bibliography  Save this article

Volatility Behaviour in Emerging Markets: A Case Study of the Athens Stock Exchange, Using Daily and Intra-Daily Data

Author

Listed:
  • Kyrtsou, C.
  • Terraza, V.

Abstract

In this paper we study the volatility behaviour, the aggregation effects and we investigate the nature of shocks coming disturb the Greek Market. To do so, we apply the ARCH LM, the fractional integration (Geweke and Porter-Hudak, 1983) and the R/S (Lo, 1991) tests, to daily and intra-daily data. The findings support trading-day effects in intra-daily series, and for this reason we prefer examining the source of shocks by estimating only the daily returns with a GARCH(p,q)-M model. The obtained results show that endogenous factors, such as local information, play a more important role in emerging that in developed Stock Exchanges.

Suggested Citation

  • Kyrtsou, C. & Terraza, V., 2000. "Volatility Behaviour in Emerging Markets: A Case Study of the Athens Stock Exchange, Using Daily and Intra-Daily Data," European Research Studies Journal, European Research Studies Journal, vol. 0(3-4), pages 3-16, July - De.
    • Handle: RePEc:ers:journl:v:iii:y:2000:i:3-4:p:3-16
    as

    Download full text from publisher

    File URL: http://www.ersj.eu/repec/ers/papers/00_34_p1.pdf
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Virginie Terraza & Aslı Boru İpek & Mohammad Mahdi Rounaghi, 2024. "The nexus between the volatility of Bitcoin, gold, and American stock markets during the COVID-19 pandemic: evidence from VAR-DCC-EGARCH and ANN models," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-34, December.
    2. Vortelinos, Dimitrios I., 2013. "Portfolio analysis of intraday covariance matrix in the Greek equity market," Research in International Business and Finance, Elsevier, vol. 27(1), pages 66-79.

    More about this item

    Keywords

    aggregation; daily and intra-daily data; volatility; short and long memory; GARCH(p; q)-M model; emerging stock markets.;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ers:journl:v:iii:y:2000:i:3-4:p:3-16. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Marios Agiomavritis (email available below). General contact details of provider: https://ersj.eu/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.