The Role of Realized Volatility in the Athens Stock Exchange

44 Pages Posted: 4 Feb 2005 Last revised: 10 Jun 2009

See all articles by Dimitrios D. Thomakos

Dimitrios D. Thomakos

University of Peloponnese - School of Management, Economics and Informatics; University of Bologna - Rimini Center for Economic Analysis (RCEA)

Michail S. Koubouros

University of Peloponnese - Department of Economics

Date Written: March 18, 2008

Abstract

Using a newly developed dataset of daily, value-weighted market returns we construct and analyze the monthly realized volatility of the Athens Stock Exchange (A.S.E.) from 1985 to 2003. Our analysis focuses on the distributional and time series properties of the realized volatility series and on assessing the connection between realized volatility and returns through a multi-factor asset pricing model. In particular, we find strong evidence on the existence of a volatility feedback effect and a leverage effect, and on the existence of asymmetries between lagged returns and volatility. Furthermore, we examine the cross-sectional distribution of unconditional loadings on the realized risk factor(s) for different sets of characteristics-sorted common stock portfolios. We find that realized risk is a significantly priced factor in A.S.E. and its high explanatory power for the cross-section of portfolio average returns is independent of any return variation related to the market (CAPM) or size and book-to-market (Fama-French) factors. We discuss our findings in the context of the recent literature on realized volatility and feedback effects, as well as the literature on the pricing power of realized risk

Keywords: realized volatility, leverage effect, volatility feedback effect, asset pricing, A.S.E.

JEL Classification: G12

Suggested Citation

Thomakos, Dimitrios D. and Koubouros, Michail S., The Role of Realized Volatility in the Athens Stock Exchange (March 18, 2008). Multinational Finance Journal, Forthcoming. Available at SSRN: https://ssrn.com/abstract=661066

Dimitrios D. Thomakos (Contact Author)

University of Peloponnese - School of Management, Economics and Informatics ( email )

Department of Economics
22100 Tripolis
Greece
+30 2710 230139 (Fax)

HOME PAGE: http://es.uop.gr/

University of Bologna - Rimini Center for Economic Analysis (RCEA)

Via Patara, 3
Rimini (RN), RN 47900
Italy

Michail S. Koubouros

University of Peloponnese - Department of Economics ( email )

Tripolis, 22100
Greece

HOME PAGE: http://econ.uop.gr/~m.koubouros/

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
129
Abstract Views
1,185
rank
231,332
PlumX Metrics