Financial Regulation and Stock Market Volatility in the Athens Stock Exchange

Harilaos V. Mertzanis () and Costas Siriopoulos ()
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Harilaos V. Mertzanis: Hellenic Capital Market Commission, Department of Research, Postal: 1 Kolokotroni & Stadiou Str., 105 62 Athens, Greece, http://www.hcmc.gr/pages/index.asp

Economia Internazionale / International Economics, 1999, vol. 52, issue 2, 191-213

Abstract: This study examines the impact of one measure of financial regulation, namely that of a price limit imposition, on return volatility of selected different capitalization stocks in the Athens Stock Exchange for different periods. It emphasizes the role of shifting binding constraints on stock trading versus that of changes in general market information and focuses, more specifically, on the extent of the cooling-off effect. It is shown that the cooling-off hypothesis is confirmed only with respect to the large capitalization stocks but not for all time periods, whilst it is contradicted with respect to the middle level capitalization stocks and to a lesser extent to the small capitalization stocks. Similar tendencies are observed with respect to both daily and monthly data. In addition, the results show that differential variance changes between the different capitalization stocks. Overall, the empirical results do not provide strong support for the cooling-off hypothesis, except only for the large capitalization stocks.

JEL-codes: G24 (search for similar items in EconPapers)
Date: 1999
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Persistent link: https://EconPapers.repec.org/RePEc:ris:ecoint:0276

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