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

EUROPEAN FINANCIAL MANAGEMENT, Vol. 2 No. 1, March 1996

Cass Business School Research Paper

Posted: 29 Apr 1998

See all articles by Gikas Manalis

Gikas Manalis

Hellenic Exchanges Holdings SA

Kate Phylaktis

City University London - Sir John Cass Business School

Manolis G. Kavussanos

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

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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 generalized 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.

JEL Classification: G15

Suggested Citation

Manalis, Gikas and Phylaktis, Kate and Kavussanos, Manolis G., Stock Prices and the Flow of Information in the Athens Stock Exchange. EUROPEAN FINANCIAL MANAGEMENT, Vol. 2 No. 1, March 1996; Cass Business School Research Paper. Available at SSRN: https://ssrn.com/abstract=7652

Gikas Manalis

Hellenic Exchanges Holdings SA

Athens
Greece

Kate Phylaktis (Contact Author)

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/

Manolis G. Kavussanos

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)

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