Stock returns and volatility: Evidence from the Athens Stock market index
Journal article
Apergis, Nicholas and Eleftheriou, Sofia 2001. Stock returns and volatility: Evidence from the Athens Stock market index. Journal of Economics and Finance.
Authors | Apergis, Nicholas and Eleftheriou, Sofia |
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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. |
Keywords | Stock Returns; Conditional Variance Return Series; Conditional Volatility; ARCH modelling |
Year | 2001 |
Journal | Journal of Economics and Finance |
Publisher | Springer |
Web address (URL) | http://hdl.handle.net/10545/623549 |
http://creativecommons.org/licenses/by-nc-nd/4.0/ | |
hdl:10545/623549 | |
Publication dates | Mar 2001 |
Publication process dates | |
Deposited | 14 Mar 2019, 17:33 |
Contributors | University of Ioannina and Thessaloniki Stock Exchange |
File | File Access Level Open |
File | File Access Level Open |
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https://repository.derby.ac.uk/item/9467z/stock-returns-and-volatility-evidence-from-the-athens-stock-market-index
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