IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to save this article

The impact of stock incremental information on the volatility of the Athens stock exchange

  • Panayiotis Diamandis
  • Anastassios Drakos
  • Argyrios Volis

In this paper we model the volatility of the Athens Stock Exchange general index. With the use of alternative conditional heteroskedasticity models (Glonsten et al., 1993; Bollerslev, 1986; Zakoian, 1991) we investigate whether stock returns include incremental information when we model index volatility. Whereas empirically much is known about the volatility of the Athens General Index, very little has been done on the impact the stock increments have on the General Index volatility. Our econometric approach relies on the comparison between TARCH and modified GARCH estimation techniques, on a sample of 48 shares included in the Athens General Index, using daily data over the period 1993-2003. After capturing for any possible qualitative effects, such as the cut-off points indicating a “bearish” or “bullish” capital market, the results clearly indicate that the shares include incremental volatility information in their returns.1

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500401302
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

Volume (Year): 17 (2007)
Issue (Month): 5 ()
Pages: 413-424

as
in new window

Handle: RePEc:taf:apfiec:v:17:y:2007:i:5:p:413-424
DOI: 10.1080/09603100500401302
Contact details of provider: Web page: http://www.tandfonline.com/RAFE20

Order Information: Web: http://www.tandfonline.com/pricing/journal/RAFE20

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

as in new window
  1. Alexakis, Panayotis & Petrakis, Panayotis, 1991. "Analysing stock market behaviour in a small capital market," Journal of Banking & Finance, Elsevier, vol. 15(3), pages 471-483, June.
  2. Fielitz, Bruce D., 1971. "Stationarity of Random Data: Some Implications for the Distribution of Stock Price Changes," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 6(03), pages 1025-1034, June.
  3. Gregorios Siourounis, 2002. "Modelling volatility and testing for efficiency in emerging capital markets: the case of the Athens stock exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 12(1), pages 47-55.
  4. Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
  5. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
  6. Manolis Kavussanos & Everton Dockery, 2001. "A multivariate test for stock market efficiency: the case of ASE," Applied Financial Economics, Taylor & Francis Journals, vol. 11(5), pages 573-579.
  7. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
  8. E. Dockery & M. G. Kavussanos, 1996. "Testing the efficient market hypothesis using panel data, with application to the Athens stock market," Applied Economics Letters, Taylor & Francis Journals, vol. 3(2), pages 121-123.
  9. George Leledakis & Ian Davidson & George Karathanassis, 2003. "Cross-sectional estimation of stock returns in small markets: The case of the Athens Stock Exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 13(6), pages 413-426.
  10. Alberto Alesina & Nouriel Roubini, 1992. "Political Cycles in OECD Economies," Review of Economic Studies, Oxford University Press, vol. 59(4), pages 663-688.
  11. Blair, Bevan J. & Poon, Ser-Huang & Taylor, Stephen J., 2001. "Modelling S&P 100 volatility: The information content of stock returns," Journal of Banking & Finance, Elsevier, vol. 25(9), pages 1665-1679, September.
  12. Bera, Anil K & Higgins, Matthew L, 1993. " ARCH Models: Properties, Estimation and Testing," Journal of Economic Surveys, Wiley Blackwell, vol. 7(4), pages 305-66, December.
  13. Lawrence R. Glosten & Ravi Jagannathan & David E. Runkle, 1993. "On the relation between the expected value and the volatility of the nominal excess return on stocks," Staff Report 157, Federal Reserve Bank of Minneapolis.
  14. Nicholas Apergis & Sophia Eleptheriou, 2001. "Stock returns and volatility: Evidence from the Athens Stock market index," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 25(1), pages 50-61, March.
  15. Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394.
  16. Klein, Michael W, 1996. "Timing Is All: Elections and the Duration of United States Business Cycles," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(1), pages 84-101, February.
  17. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
  18. Hsieh, David A, 1989. "Modeling Heteroscedasticity in Daily Foreign-Exchange Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(3), pages 307-17, July.
  19. Stilianos Fountas & Konstantinos Segredakis, 2002. "Emerging stock markets return seasonalities: the January effect and the tax-loss selling hypothesis," Applied Financial Economics, Taylor & Francis Journals, vol. 12(4), pages 291-299.
  20. Nelson, Daniel B., 1990. "ARCH models as diffusion approximations," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 7-38.
  21. Roubini, Nouriel & Alesina, Alberto, 1992. "Political Cycles in OECD Economies," Scholarly Articles 4553025, Harvard University Department of Economics.
  22. Black, Stanley W, 1976. "Rational Response to Shocks in a Dynamic Model of Capital Asset Pricing," American Economic Review, American Economic Association, vol. 66(5), pages 767-79, December.
  23. Benoit Mandelbrot, 1967. "The Variation of Some Other Speculative Prices," The Journal of Business, University of Chicago Press, vol. 40, pages 393.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:17:y:2007:i:5:p:413-424. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)

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.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 profile, as there may be some citations waiting for confirmation.

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

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.