Journal of Economics and Finance

, Volume 25, Issue 1, pp 50–61 | Cite as

Stock returns and volatility: Evidence from the Athens Stock market index


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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Copyright information

© Springer 2001

Authors and Affiliations

  1. 1.Department of EconomicsUniversity of IoanninaIoanninaGreece
  2. 2.Thessaloniki Stock Exchange CenterThessalonikiGreece

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