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Author: Andreas Argyropoulos
Publisher:
ISBN:
Category :
Languages : en
Pages : 24
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Book Description
The present paper examines whether the Greek stock market has an emerging or a developed market status, using a sample of 25 national equity market indexes and the world market index for 14 years (1992-2006). Moreover there is an attempt to examine the diversification benefits of an international orientated investor when holding Greek equity, before and after the introduction of Euro to the Greek economy (2001). In order to find the level of integration of the Greek stock market to the developed ones, the Dynamic Conditional Correlations (DCC), (Engle, 2002) are calculated and compared, as well as, the Cointegration relationships between Greek market and all the other markets according to the Johansen (1988) approach. The diversification benefits are examined in the short-run by comparing the returns, volatility and correlations, while in the long-run by the number of common stochastic trend of the Greek market with the other markets and the speed of adjustment to this trend after a shock. The results give evidence that the Greek market was clearly acting as an emerging one during the most of the previous decade, while after the Euro introduction Greek equity market has gained in terms of integration to the developed ones and could be assigned within a group of European markets, not yet completely integrated to the giant global markets. Consequently, the diversification benefits have been minimized, although not completely eliminated.
Author: Andreas Argyropoulos
Publisher:
ISBN:
Category :
Languages : en
Pages : 24
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Book Description
The present paper examines whether the Greek stock market has an emerging or a developed market status, using a sample of 25 national equity market indexes and the world market index for 14 years (1992-2006). Moreover there is an attempt to examine the diversification benefits of an international orientated investor when holding Greek equity, before and after the introduction of Euro to the Greek economy (2001). In order to find the level of integration of the Greek stock market to the developed ones, the Dynamic Conditional Correlations (DCC), (Engle, 2002) are calculated and compared, as well as, the Cointegration relationships between Greek market and all the other markets according to the Johansen (1988) approach. The diversification benefits are examined in the short-run by comparing the returns, volatility and correlations, while in the long-run by the number of common stochastic trend of the Greek market with the other markets and the speed of adjustment to this trend after a shock. The results give evidence that the Greek market was clearly acting as an emerging one during the most of the previous decade, while after the Euro introduction Greek equity market has gained in terms of integration to the developed ones and could be assigned within a group of European markets, not yet completely integrated to the giant global markets. Consequently, the diversification benefits have been minimized, although not completely eliminated.
Author: Ioannis S. Papadopoulos
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Nikitas A. Niarchos
Publisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 299
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Author: Philippe Ramsebner
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
The analysis aims to examine the impacts of the Greek crisis on the Greek stock exchange between December 2009 and March 2012 by conducting an event study. The observed sample contains all 247 firms listed on the Greek stock exchange for which daily data is available. The question is, to which extent the financial and non-financial industry is affected and what factors contribute to that. Further it is examined whether the information source has an impact on the abnormal return generated and if news about a bailout of Greece have a significant impact.
Author: Damianos Lazaridis Giannopoulos
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 0
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Author: Dimitris Kenourgios
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ISBN:
Category :
Languages : en
Pages : 14
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Book Description
This paper investigates the day of the week effect in the Athens Stock Exchange (ASE) General Index over a ten year period divided into two subperiods: 1995-2000 and 2001-2004. Five major indices are also considered: Banking, Insurance, and Miscellaneous for the first subperiod, and FTSE-20 and FTSE-40 for the second subperiod. Using a conditional variance framework, which extends previous work on the Greek stock market, we test for possible existence of day of the week variation in both return and volatility equations. When using the GARCH (1,1) specification only for the return equation and the Modified-GARCH (1,1) specification for both the return and volatility equations, findings indicate that the day of the week effect is present for the examined indices of the emerging ASE over the period 1995-2000. However, this stock market anomaly seems to loose its strength and significance in the ASE over the period 2001-2004, which might be due to the Greek entry to the Euro-Zone and the market upgrade to the developed.
Author: Apostolos Dasilas
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ISBN:
Category :
Languages : en
Pages : 0
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This paper examines the ex-dividend price and trading volume behaviour in the Greek stock market. The examined period spans over the period 2000-2004. We use both the standard event study methodology and the regression analysis in order to assess the ex-dividend stock price anomaly. We find that stock prices drop less by than the dividend amount. By examining abnormal returns as well as abnormal trading volume around the ex-dividend day, we find strong evidence of short-term trading which is consistent with the presence of dividend-capturing activities around the ex-dividend day. The results from the cross-sectional regression analysis confirm that the short-term trading hypothesis explains the ex-day stock price anomaly in Greece.
Author: Ayse Yuce
Publisher:
ISBN:
Category : Investments
Languages : en
Pages : 193
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Book Description
Author: Dimitrios D. Thomakos
Publisher:
ISBN:
Category :
Languages : en
Pages : 27
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Book Description
We test for and model volatility jumps for three major indices of the Athens Stock Exchange (ASE).Using intraday data we rst construct several, state-of-the-art realized volatility estimators. We use these estimators to construct the jump components of volatility and perform various tests on their properties. Then we use the class of Heterogeneous Autoregressive (HAR) models for assessing the relevant effects of jumps on volatility. Our results expand and complement the previous literature on the ASE market and, in particular, this is the rst time, to the best of our knowledge, that volatility jumps are examined and modeled for the Greek market, using a variety of realized volatility estimators.
Author: Nikitas Niarchos
Publisher:
ISBN:
Category :
Languages : en
Pages : 22
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Book Description
This article investigates the international information transmission between the U.S. and Greek stock markets using daily data from the Athens Stock Exchange (ASE) and the S&P 500 Index returns. It employs a bivariate exponential GARCH-t (EGARCH-t) that allows for both mean and variance spillovers between the two markets. It also performs cointegration tests on the long-run relation between these two markets and explores the possible common volatility feature in the spirit of Engle and Kozicki (1993). The results show no spillovers between these two markets for the conditional mean and variance. Also, the cointegration test shows that these two markets are not driven by a common trend. It appears that the U.S. and Greek stock markets are not related to each other, either in the short-run or in the long-run.
