Author: Nikitas A. Niarchos
Publisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 299

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Author: Maria Anagnostopoulou
Publisher:
ISBN:
Category :
Languages : en
Pages : 12

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Book Description
The Greek stock market started trading in 1876 as the Athens Stock Exchange (ASE). During the 1990s, reforms that modernised ASE took place. In 1991, the first electronic trading system (ASIS) was established, replacing the open outcry method. In addition the Central Securities Depository (CSD), which settles the transactions, is founded by that time. In 1999, the Athens Derivatives Exchange Clearing House (ADECH) and the Athens Derivatives Exchange (ADEX) started to operate and the derivatives market started trading for the first time in August 1999. The merge of the Athens Stock Exchange and the Athens Derivatives Exchange resulted to the formation of the Athens Stock Exchange (ATHEX).

Author: Michail S. Koubouros
Publisher:
ISBN:
Category :
Languages : en
Pages :

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This paper examines the time series relationship between portfolio specific variables (such as size, book-to-market and dividend yields) and portfolio returns using data from the Greek stock market from 1991 to 2003. Using a conditional version of the three-factor Fama-French (1993) asset pricing model, we find that the predictive power of these variables emerges from their strong comovement with assets' exposures to aggregate value and size related risks rather than to mispricing. Our results indicate that Athens Stock Exchange returns were driven by a rational risk story that allows firm characteristics to track changes in time-varying discount rates through changes in risk.

Author: Despina Kantzi
Publisher:
ISBN:
Category : Corporations
Languages : en
Pages : 158

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Author: Apostolos Dasilas
Publisher:
ISBN:
Category :
Languages : en
Pages : 38

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This study investigates the stock market reaction of the Athens Stock Exchange (ASE) to cash dividend announcements for the period 2000-2004. In particular, the paper examines both the stock price and trading volume response to company announcements about dividend distributions. The dividend distribution in Greece features remarkable differences from those of US, UK and other developed markets. First, dividends in Greece are paid on a yearly basis. Second, the corporate law designates with high accuracy the minimum amount for distribution from the net earnings. Third, neither tax on dividends nor on capital gains is imposed in Greece. Despite this restrictive informational environment, we document significant market reaction on dividend announcement dates. Similar market reaction is observed to dividend change announcements, lending support to the quot;information content of dividends hypothesisquot; which predicts market reaction on the direction of that of dividend change.

Author: Andreas Argyropoulos
Publisher:
ISBN:
Category :
Languages : en
Pages : 24

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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: Dimitrios Vasiliou
Publisher:
ISBN:
Category :
Languages : en
Pages : 14

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We examine the performance of various types of technical trading rules in the Athens Stock Exchange (ASE). In particular, this study examines the predictability of daily returns for the ASE by using the various moving averages rules. Due to the problem of non-normality on distribution of the abnormal returns identified, the bootstrap methodology under the null models of AR(1) and GARCH(1,1) is proposed. Overall, our results provide strong support for the examined technical strategies.

Author: Zoi Papatheofani
Publisher:
ISBN:
Category : Risk management
Languages : en
Pages : 24

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Author: Nikitas Niarchos
Publisher:
ISBN:
Category :
Languages : en
Pages : 22

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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.

Author: Michael Moore
Publisher:
ISBN:
Category :
Languages : en
Pages :

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Using a unique high-frequency data set on a comprehensive sample of Greek blue-chip stocks, spanning from September 2003 through March 2006, this note assesses the extent and role of commonality in returns, order flows, and liquidity. It also formally models aggregate equity returns in terms of aggregate equity order flow, in an effort to clarify order flow's importance in explaining returns for the Athens Exchange market. Almost a quarter of the daily returns in the FTSE/ATHEX20 index is explained by aggregate own-order flow. In a second step, using principal components and canonical correlation analysis, we document substantial common movements in returns, order flows, and liquidity, both on a market-wide basis as well as on an individual security basis. These results emphasize that asset pricing and liquidity cannot be analyzed in isolation from each other.