"Meteor showers" and "heat waves" in Greek financial markets |
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Authors: | Nicholas Apergis Costas Katrakilidis Stamatis Papastamatis |
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Institution: | (1) University of Macedonia, Aristotelian University of Thessaloniki, and Ionian Bank of Greece, Greece |
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Abstract: | This paper examines the presence of "meteor showers" and "heat waves" effects in Greek financial markets. In particular, the relationship between the stock market price index volatility and the volatility of three exchange rates (U.S. dollar, deutsche mark, and ECU) recorded on a daily basis is investigated. The results provide evidence in favor of the "heat wave" hypothesis, while the "meteor shower" hypothesis was observed only with respect to the U.S. dollar.We would like to thank, without implicating, participants in the Country Studies session of the 43rd International Atlantic Economic Conference held in London, England and especially Dorota Witkowska for helpful comments and suggestions. |
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