Financial crisis, liquidity and dynamic linkages between large and small stocks: Evidence from the Athens Stock Exchange

Athanasios Koulakiotis, Vassilios Babalos and Nicholas Papasyriopoulos

Journal of International Financial Markets, Institutions and Money, 2016, vol. 40, issue C, 46-62

Abstract: This paper investigates return and volatility spillovers among Large, Medium and Small size stock portfolios in Athens Stock Exchange by employing an augmented univariate and multivariate VAR-EGARCH model. As a robustness test, a Monte Carlo simulation is undertaken in order to disentangle the impact of non-synchronous trading. We find that the transmission mechanism in ASE is less asymmetric after the recent financial crisis. In addition, there are spillovers among Large, Medium and Small size stocks, with a feedback effect revealed as well. The simulation results suggest that non-synchronous trading accounts for spillover effects in volatility in the post-crisis period. Our results entail implications for investors, listed companies and policy makers.

Keywords: Return; Volatility; Spillovers; Asymmetric response; Non-synchronous trading (search for similar items in EconPapers)
JEL-codes: C5 G00 G01 G12 G14 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1042443115000852
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:40:y:2016:i:c:p:46-62

DOI: 10.1016/j.intfin.2015.06.004

Access Statistics for this article

Journal of International Financial Markets, Institutions and Money is currently edited by I. Mathur and C. J. Neely

More articles in Journal of International Financial Markets, Institutions and Money from Elsevier
Bibliographic data for series maintained by Catherine Liu ().