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

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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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Authors and Affiliations

  1. Department of Economics, University of Ioannina, 45110, Ioannina, Greece

    Nicholas Apergis (Associate Professor)

  2. Thessaloniki Stock Exchange Center, Thessaloniki, Greece

    Sophia Eleptheriou

Authors
  1. Nicholas Apergis
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  2. Sophia Eleptheriou
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Correspondence to Nicholas Apergis.

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Apergis, N., Eleptheriou, S. Stock returns and volatility: Evidence from the Athens Stock market index. J Econ Finan 25, 50–61 (2001). https://doi.org/10.1007/BF02759686

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