Systematic Liquidity and Excess Returns: Evidence from the Athens Stock Exchange

Evangelos Giouvris and Emilios C. Galariotis ()
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Emilios C. Galariotis: Durham Business School - Durham University

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Abstract: The recently established liquidity commonality for large and well-developed markets has overlooked smaller developing ones, despite the interest of the international investment community in some of these markets. In this paper we investigate for the first time how commonality affects asset pricing during a period of great market changes and differing market interest in the context of an emerging market, namely the Athens stock Exchange. The choice is due to international interest as this market has more than 50% of its stocks owned by international investors, 77% of which is institutional ones, possibly due to its low correlation with larger developed markets and the higher profit opportunities. The evidence show that commonality is also present in such markets but it is not priced and not as strong as in the UK and US, while it comes in waves and appears more pertinent in high capitalization companies.

Keywords: Liquidity; Systematic liquidity; Common component; Athens Stock Exchange (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (2)

Published in Journal of Money Investment and Banking, 2008, 2, pp.81-96

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01091110

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