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

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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Copyright information

© Springer 2001

Authors and Affiliations

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

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