Idiosyncratic Risk in Greece: Properties and Portfolio Implications

Timotheos Angelidis and Nikolaos Tessaromatis

No 1, Working Papers from University of Peloponnese, Department of Economics

Abstract: This paper analyses the properties of idiosyncratic risk in the Greek Stock Market by disaggregating the total volatility of stocks at market, industry, and firm level. Idiosyncratic risk is much larger and represents a smaller component of total volatility in Greece compared with other developed markets, is persistent, shows no trend over time but tends to increase more during upward than downward movements of the market. Average firm specific risk in Greece is best described by a two-state Markov process and during periods of high volatility (in 1987, in 1989-1990, in 1994 and in 1998-2000) the average idiosyncratic variance is twice than that of the low variance regime. The implications for portfolio and risk management of changing idiosyncratic volatility are also discussed.

Keywords: Idiosyncratic Risk; Risk Management; Stock Market Volatility (search for similar items in EconPapers)
Pages: 31 pages
Date: 2007
New Economics Papers: this item is included in nep-rmg
References: Add references at CitEc
Citations:

Downloads: (external link)
http://econ.uop.gr/~econ/RePEc/pdf/Angelidis_Tessaromatis.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to econ.uop.gr:80 (A connection attempt failed because the connected party did not properly respond after a period of time, or established connection failed because connected host has failed to respond.)

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:uop:wpaper:0001

Access Statistics for this paper

More papers in Working Papers from University of Peloponnese, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Kleanthis Gatziolis ().