Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/144655
Authors: 
Sariannidis, Nikolaos
Papadopoulou, Polyxeni
Drimbetas, Evangelos
Year of Publication: 
2015
Citation: 
[Journal:] International Journal of Business and Economic Sciences Applied Research [ISSN:] 2408-0101 [Volume:] 8 [Year:] 2015 [Issue:] 2 [Pages:] 55-68
Abstract: 
Purpose of this paper - The current paper aims to analyze the impact of the debt crisis on the FTSE / ASE 20 index volatility. The research also examines the impact of powerful foreign capital markets on the Greek Stock Exchange market, the seasonality returns (Day-of-the-Week effect) and the volatility structure. Design/methodology/approach - The analysis of data is made by employing the GARCH models, and more specifically the GJR-GARCH model. Findings - The results of the GJR-GARCH model demonstrate that the debt crisis and, therefore, its consequences increase the FTSE / ASE 20 index volatility and the Greek market does not react asymmetrically to negative information. In addition, the results indicate the importance of foreign markets in shaping the first moment of the FTSE / ASE 20 index and the presence of the Reverse Day of the Week effect. Research limitations/implications - The implication of volatility measurement is vital in determining the cost for investment, security pricing markets, hedging and other trading strategies, and also for regulatory policies conducted within financial markets. Originality/value - The paper may prove helpful to regulatory authorities, investors and financial analysts to understand the structure and behavior of volatility in a small stock exchange market under crisis.
Subjects: 
Greek market
volatility
GARCH models
Day-of-the-Week effect
JEL: 
G10
G14
G15
C22
Document Type: 
Article

Files in This Item:
File
Size
645.23 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.