IDEAS home Printed from https://ideas.repec.org/p/uop/wpaper/0001.html
   My bibliography  Save this paper

Idiosyncratic Risk in Greece: Properties and Portfolio Implications

Author

Listed:
  • Timotheos Angelidis
  • Nikolaos Tessaromatis

Abstract

This paper analyses the properties of idiosyncratic risk in the Greek Stock Market by disaggregating the total volatility of stocks at market, industry, and firm level. Idiosyncratic risk is much larger and represents a smaller component of total volatility in Greece compared with other developed markets, is persistent, shows no trend over time but tends to increase more during upward than downward movements of the market. Average firm specific risk in Greece is best described by a two-state Markov process and during periods of high volatility (in 1987, in 1989-1990, in 1994 and in 1998-2000) the average idiosyncratic variance is twice than that of the low variance regime. The implications for portfolio and risk management of changing idiosyncratic volatility are also discussed.

Suggested Citation

  • Timotheos Angelidis & Nikolaos Tessaromatis, 2007. "Idiosyncratic Risk in Greece: Properties and Portfolio Implications," Working Papers 0001, University of Peloponnese, Department of Economics.
  • Handle: RePEc:uop:wpaper:0001
    as

    Download full text from publisher

    File URL: http://econ.uop.gr/~econ/RePEc/pdf/Angelidis_Tessaromatis.pdf
    Download Restriction: no

    More about this item

    Keywords

    Idiosyncratic Risk; Risk Management; Stock Market Volatility;

    NEP fields

    This paper has been announced in the following NEP Reports:

    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:uop:wpaper:0001. 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: (Kleanthis Gatziolis). General contact details of provider: http://edirc.repec.org/data/depelgr.html .

    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 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.

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.