Stock returns and volatility: Evidence from the Athens Stock market index

被引：0

作者：

Apergis N. ^{[1
]}

Eleptheriou S. ^{[2
]}

机构：

[1] Department of Economics, University of Ioannina

来源：

Journal of Economics and Finance | 2001年 / 25卷 / 1期

关键词：

Stock Return; Conditional Variance; Return Series; Arch Model; Conditional Volatility;

D O I：

10.1007/BF02759686

中图分类号：

学科分类号：

摘要：

This paper investigates the volatility of the Athens Stock excess stock returns over the period 1990-1999 through the comparison of various conditional hetero-skedasticity models. The empirical results indicate that there is significant evidence for asymmetry in stock returns, which is captured by a quadratic GARCH specification model, while there is strong persistence of shocks into volatility.

引用

页码：50 / 61

页数：11

共 50 条

[31] Financial Constraints and Stock Returns: Evidence from Stock Market in China
Ling Zhi-xiong
Chen Si-yu
2012 INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE & ENGINEERING, 2012, : 1422 - 1428
[32] Margin borrowing, stock returns, and market volatility: Evidence from margin credit balance
Zhang, WD
Seyedian, M
Li, JL
ECONOMICS LETTERS, 2005, 87 (02) : 273 - 278
[33] Oil prices, stock market returns, and volatility spillovers: evidence from Saudi Arabia
Emrah Ismail Cevik
Sel Dibooglu
Atif Awad Abdallah
Eisa Abdulrahman Al-Eisa
International Economics and Economic Policy, 2021, 18 : 157 - 175
[34] Oil prices, stock market returns, and volatility spillovers: evidence from Saudi Arabia
Cevik, Emrah Ismail
Dibooglu, Sel
Awad Abdallah, Atif
Al-Eisa, Eisa Abdulrahman
INTERNATIONAL ECONOMICS AND ECONOMIC POLICY, 2021, 18 (01) : 157 - 175
[35] Stock index volatility: evidence for stock index options in Taiwan
Lin, Chin-Tsai
Yeh, Hsin-Yi
JOURNAL OF INFORMATION & OPTIMIZATION SCIENCES, 2008, 29 (03): : 557 - 567
[36] STOCK RETURNS PREDICTABILITY AND MARKET TIMING TRADING - EVIDENCE FROM MALAYSIAN STOCK MARKET
Nguyen Thi Tuyet Nhung
Nguyen Thi Bich Loan
Bui Duc Nha
PROCEEDINGS OF THE 1ST INTERNATIONAL CONFERENCE ON FINANCE AND ECONOMICS 2014, 2014, : 528 - 551
[37] Market frictions and stock return dynamics Evidence from the Athens Stock Exchange
Koutmos, Gregory
Philippatos, George C.
MANAGERIAL FINANCE, 2007, 33 (03) : 210 - 219
[38] ANALYSIS OF SECTORAL INDEX STOCK RETURNS AND RISK (VOLATILITY) ON THE CROATIAN FINANCIAL MARKET
Uckar, Dean
Petrovic, Danijel
9TH INTERNATIONAL SCIENTIFIC CONFERENCE: TOURISM, INNOVATIONS AND ENTREPRENEURSHIP (TIE 2019), 2020, : 381 - 394
[39] The volatility index and style rotation: Evidence from the Korean stock market and VKOSPI
Lee, C.
Ryu, D.
INVESTMENT ANALYSTS JOURNAL, 2014, (79) : 29 - 39
[40] Transmission of stock returns and volatility between the U.S. and Japan: Evidence from the stock index futures markets
Pan M.-S.
Hsueh L.P.
Asia-Pacific Financial Markets, 1998, 5 (3) : 211 - 225

← 1 2 3 4 5 →