Identifying stocks' characteristics before market crashes: the case of the Athens stock exchange

Ilias A. Makris, Vasilis N. Nikolaidis and Stavros Stavroyiannis

Global Business and Economics Review, 2013, vol. 15, issue 1, 76-87

Abstract: Many surveys analyse the volatility of stock market indexes, omitting the role of individual stocks in that phenomenon. In the present study, we focus on that part of the market, using financial and market data from listed firms in the Athens Stock Exchange (ASE) index in several crashes, during current economic crisis. Using econometric analysis, we attempt to identify firm characteristics that may differentiate stocks' behaviour in market crashes. Finding shows that as the depression becomes deeper, investors seem to pay attention, apart from financial indicators (such as beta), to firms' internal economic indicators (such as debt), crucial for their viability.

Keywords: market crashes; stock characteristics; financial indicators; stock returns; Athens Stock Exchange; ASE; Greece; stock markets; individual stocks; financial crisis; economic crisis; internal economic indicators; debt. (search for similar items in EconPapers)
Date: 2013
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