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

Nicholas Apergis () and Sophia Eleptheriou

Journal of Economics and Finance, 2001, vol. 25, issue 1, 50-61

Abstract: 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. Copyright Springer 2001

Date: 2001
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DOI: 10.1007/BF02759686

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