Idiosyncratic Risk in Greece: Properties and Portfolio Implications
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.
|Date of creation:||2007|
|Date of revision:|
|Contact details of provider:|| Phone: +30-2710-230128|
Web page: http://econ.uop.gr/~econ/
More information through EDIRC
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)
If references are entirely missing, you can add them using this form.