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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

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

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

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Handle: RePEc:taf:apfiec:v:17:y:2007:i:5:p:413-424
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