Stock returns and volatility: Evidence from the Athens Stock market index |
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Authors: | Nicholas Apergis Sophia Eleptheriou |
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Institution: | (1) Department of Economics, University of Ioannina, 45110 Ioannina, Greece;(2) Thessaloniki Stock Exchange Center, Thessaloniki, Greece |
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Abstract: | This paper investigates the volatility of the Athens Stock excess stock returns over the period 1990–1999 through the comparison
of various conditional hetero-skedasticity models. The empirical results indicate that there is significant evidence for asymmetry
in stock returns, which is captured by a quadratic GARCH specification model, while there is strong persistence of shocks
into volatility. |
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Keywords: | |
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