Stock Prices and the Flow of Information in the Athens Stock Exchange

European Financial Management, Vol.2, No. 1, 1996, 113-126

Posted: 7 Feb 2014

See all articles by Manolis G. Kavussanos

Manolis G. Kavussanos

Athens University of Economics and Business - Department of Accounting and Finance

Kate Phylaktis

City University London - Sir John Cass Business School

Gikas Manalis

Hellenic Exchanges Holdings SA

Multiple version iconThere are 2 versions of this paper

Date Written: 1996

Abstract

The paper investigates the dynamics of price changes and information flow to the market in the Athens Stock Exchange in Greece using daily data over the period 1988 to 1993. A generalised autoregressive conditional heteroskedastic (GARCH) model in stock returns is shown to reflect time dependence in the process generating information flow to the market. Using daily trading volume or value as proxies for information flow, we find them to be significant in explaining the variance of daily returns and to reduce GARCH effects substantially. This has implications for the informational efficiency of the market.

Suggested Citation

Kavussanos, Manolis G. and Phylaktis, Kate and Manalis, Gikas, Stock Prices and the Flow of Information in the Athens Stock Exchange (1996). European Financial Management, Vol.2, No. 1, 1996, 113-126. Available at SSRN: https://ssrn.com/abstract=2385859

Manolis G. Kavussanos (Contact Author)

Athens University of Economics and Business - Department of Accounting and Finance ( email )

76 Patission St
TK 104 34 Athens
Greece
0030 210 8203167 (Phone)
0030 210 8228816 (Fax)

Kate Phylaktis

City University London - Sir John Cass Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom
+44 20 70408735 (Phone)
+44 20 70408881 (Fax)

HOME PAGE: http://www.cass.city.ac.uk/faculty/k.phylaktis/

Gikas Manalis

Hellenic Exchanges Holdings SA

Athens
Greece

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