Stock Market Volatility in an Emerging Market: Further Evidence from the Athens Stock Exchange

Posted: 24 Aug 2001

See all articles by John B. McDermott

John B. McDermott

Fairfield University - Charles F. Dolan School of Business

Georgios E. Chortareas

University of Athens - Faculty of Economics; University of Essex - Department of Accounting, Finance & Management; King's College London

Titos E. Ritsatos

Omega Insurance

Abstract

We investigate the time series properties of the daily and weekly returns from the Athens Stock Exchange (ASE) index for the years 1987 to 1997. We investigate whether important time-series characteristics have changed significantly over time. The Greek market has recently undergone major changes including complete capital flow liberalization, the implementation of computerized trading, as well as significant increases in market volume and capitalization; we thus contrast the 1987-90 and 1991-97 periods. Our findings suggest the dynamics of the ASE composite index returns have changed as the market has developed.

Keywords: Volatility, Greece, emerging markets

JEL Classification: G15

Suggested Citation

McDermott, John B. and Chortareas, Georgios and Ritsatos, Titos E., Stock Market Volatility in an Emerging Market: Further Evidence from the Athens Stock Exchange. Journal of Business, Finance and Accounting, Vol. 27, Nos. 7 & 8, Sept./Oct. 2000. Available at SSRN: https://ssrn.com/abstract=272268

John B. McDermott (Contact Author)

Fairfield University - Charles F. Dolan School of Business ( email )

N. Benson Road
Fairfield, CT 06824
United States
203.254.4000 X 2830 (Phone)
203.254.4105 (Fax)

Georgios Chortareas

University of Athens - Faculty of Economics ( email )

8 Pesmazoglou street
GR-10559 Athens
Greece
+(30) 210 3689805 (Phone)
+(30) 210 3689810 (Fax)

University of Essex - Department of Accounting, Finance & Management ( email )

Wivenhoe Park
Colchester CO4 3SQ
United Kingdom

King's College London ( email )

Strand
London, England WC2R 2LS
United Kingdom

Titos E. Ritsatos

Omega Insurance ( email )

11523 Athens
Greece

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