Stock Market Volatility in an Emerging Market: Further Evidence from the Athens Stock Exchange

We investigate the time series properties of the daily and weekly returns from the Athens Stock Exchange (ASE) index for the years 1987 to 1997. We investigate whether important time-series characteristics have changed significantly over time. The Greek market has recently undergone major changes including complete capital flow liberalization, the implementation of computerized trading, as well as significant increases in market volume and capitalization; we thus contrast the 1987–90 and 1991–97 periods. Our findings suggest the dynamics of the ASE composite index returns have changed as the market has developed.     

The Wealth and Information Effects of Insurers' Open Market Stock Repurchase Announcements

This article examines the use of an increasingly popular method of cash disbursement in the insurance industry: stock repurchase programs. Using a sample of stock repurchase announcements between 1981 and 1997, we examine the motivation for stock repurchase, estimate the market reaction to the repurchase announcement, and evaluate the magnitude of the reaction as it relates to particular insurance industry and firm characteristics. We examine the abnormal returns around the announcement day and find a significant positive wealth effect associated with repurchase announcements—a result that is consistent with that of other studies of both nonfinancial and financial firms. However, we suspect that the nature of the insurance product and the highly regulated status of the insurance industry might serve to mitigate the magnitude of an announcement effect. In fact, we find that the effect for all insurers is smaller than that obtained in samples of industrial firms. Finally, we examine the relationships between the magnitude of the announcement effect and various firm characteristics and test the significance of information signaling and Jensen's free cash flow theories in the insurance setting.     

Capital outflow liberalization and stock market reaction in an emerging market: Experience from Greece

This paper examines the response of the Greek equities market to the liberalization of capital flows during the 1992–1994 period. While past empirical research has largely examined the effects of capital inflow liberalization in emerging markets, we focus on capital outflow liberalization. In particular, we consider changes in the regulatory environment that allow domestic investors to hold foreign risky assets. Employing a time series of daily equity returns, a wealth effect is found that is indirectly linked to the announcement of capital flow liberalization. Additionally, our results reveal a significant change in the daily return distribution before and after final implementation. The views expressed in this paper are solely those of the authors and should not be interpreted as those of their respective affiliations.