Volatility Behaviour in Emerging Markets: A Case Study of the Athens Stock Exchange, Using Daily and Intra-Daily Data

Catherine Kyrtsou and V. Terraza

European Research Studies Journal, 2000, vol. III, issue 3-4, 3-16

Abstract: In this paper we study the volatility behaviour, the aggregation effects and we investigate the nature of shocks coming disturb the Greek Market. To do so, we apply the ARCH LM, the fractional integration (Geweke and Porter-Hudak, 1983) and the R/S (Lo, 1991) tests, to daily and intra-daily data. The findings support trading-day effects in intra-daily series, and for this reason we prefer examining the source of shocks by estimating only the daily returns with a GARCH(p,q)-M model. The obtained results show that endogenous factors, such as local information, play a more important role in emerging that in developed Stock Exchanges.

Keywords: aggregation; daily and intra-daily data; volatility; short and long memory; GARCH(p; q)-M model; emerging stock markets. (search for similar items in EconPapers)
JEL-codes: C52 G12 (search for similar items in EconPapers)
Date: 2000
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.ersj.eu/repec/ers/papers/00_34_p1.pdf (application/pdf)

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:ers:journl:v:iii:y:2000:i:3-4:p:3-16

Access Statistics for this article

More articles in European Research Studies Journal from European Research Studies Journal
Bibliographic data for series maintained by Marios Agiomavritis ().