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Identifying Black Swans in the Athens Stock Exchange

Author

Listed:
  • Tsoukalas Asterios
  • Drimpetas Evaggelos
  • Geronikolaou George

Abstract

The purpose of this study is to identify Black Swans in the Athens Stock Exchange during a thirty years period from 1985 to 2015. Using a large dataset of daily returns, we point out that extraordinary returns are not rare and that Black Swans in the Greek Stock Market are more frequent than expected. We also to show that these outliers have an extreme impact on an investor’s long term return and finally that the normality assumption is not suitable in predicting the Black Swans phenomenon.

Suggested Citation

  • Tsoukalas Asterios & Drimpetas Evaggelos & Geronikolaou George, 2019. "Identifying Black Swans in the Athens Stock Exchange," Bulletin of Applied Economics, Risk Market Journals, vol. 6(1), pages 111-122.
    • Handle: RePEc:rmk:rmkbae:v:6:y:2019:i:1:p:111-122
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    More about this item

    Keywords

    Black Swans; Greek Stock Market; Normal Distribution;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G19 - Financial Economics - - General Financial Markets - - - Other

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