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Author: Dimitrios D. Thomakos Publisher: ISBN: Category : Languages : en Pages : 38
Book Description
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.
Author: Dimitrios D. Thomakos Publisher: ISBN: Category : Languages : en Pages : 38
Book Description
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.
Author: Dimitrios D. Thomakos Publisher: ISBN: Category : Languages : en Pages : 44
Book Description
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.
Author: Dimitrios D. Thomakos Publisher: ISBN: Category : Languages : en Pages : 27
Book Description
We test for and model volatility jumps for three major indices of the Athens Stock Exchange (ASE).Using intraday data we rst construct several, state-of-the-art realized volatility estimators. We use these estimators to construct the jump components of volatility and perform various tests on their properties. Then we use the class of Heterogeneous Autoregressive (HAR) models for assessing the relevant effects of jumps on volatility. Our results expand and complement the previous literature on the ASE market and, in particular, this is the rst time, to the best of our knowledge, that volatility jumps are examined and modeled for the Greek market, using a variety of realized volatility estimators.
Author: Timotheos Angelidis Publisher: ISBN: Category : Languages : en Pages : 18
Book Description
We evaluate the performance of symmetric and asymmetric ARCH models in forecasting one-day-ahead Value-at-Risk (VaR) and realized intra day volatility of two equity indices in the Athens Stock Exchange (ASE). Under the framework of three distributional assumptions, we find out that the most appropriate method for the Bank index in forecasting the one-day-ahead VaR is the symmetric model with normally distributed innovations, while the asymmetric model with asymmetric conditional distribution applies for the General index. On the other hand, the asymmetric model tracks closer the one-step-ahead intra day realized volatility with conditional normally distributed innovations for the Bank index but with asymmetric and leptokurtic distributed innovations for the General index. Therefore, as concerns the Greek stock market, there are adequate methods for predicting market risk but it does not seem to be a specific model that is the most accurate for all the forecasting tasks.
Author: Timotheos Angelidis Publisher: ISBN: Category : Languages : en Pages : 12
Book Description
We evaluate the performance of symmetric and asymmetric ARCH models in forecasting one-day-ahead Value-at-Risk (VaR) and realized intra-day volatility of two equity indices in the Athens Stock Exchange (ASE). Under the framework of three distributional assumptions, we find out that the most appropriate method for the Bank index in forecasting the one-day-ahead VaR is the symmetric model with normally distributed innovations, while the asymmetric model with asymmetric conditional distribution applies for the General index. On the other hand, the asymmetric model tracks closer the one-step-ahead intra-day realized volatility with conditional normally distributed innovations for the Bank index but with asymmetric and leptokurtic distributed innovations for the General index. Therefore, as concerns the Greek stock market, there are adequate methods for predicting market risk but it does not seem to be a specific model that is the most accurate for all the forecasting tasks.
Author: Timotheos Angelidis Publisher: ISBN: Category : Languages : en Pages : 12
Book Description
We evaluate the performance of symmetric and asymmetric ARCH models in forecasting one-day-ahead Value-at-Risk (VaR) and realized intra day volatility of two equity indices in the Athens Stock Exchange (ASE). Under the framework of three distributional assumptions, we find out that the most appropriate method for the Bank index in forecasting the one-day-ahead VaR is the symmetric model with normally distributed innovations, while the asymmetric model with asymmetric conditional distribution applies for the General index. On the other hand, the asymmetric model tracks closer the one-step-ahead intra day realized volatility with conditional normally distributed innovations for the Bank index but with asymmetric and leptokurtic distributed innovations for the General index. Therefore, as concerns the Greek stock market, there are adequate methods for predicting market risk but it does not seem to be a specific model that is the most accurate for all the forecasting tasks.
Author: Dimitris Kenourgios Publisher: ISBN: Category : Languages : en Pages : 14
Book Description
This paper investigates the day of the week effect in the Athens Stock Exchange (ASE) General Index over a ten year period divided into two subperiods: 1995-2000 and 2001-2004. Five major indices are also considered: Banking, Insurance, and Miscellaneous for the first subperiod, and FTSE-20 and FTSE-40 for the second subperiod. Using a conditional variance framework, which extends previous work on the Greek stock market, we test for possible existence of day of the week variation in both return and volatility equations. When using the GARCH (1,1) specification only for the return equation and the Modified-GARCH (1,1) specification for both the return and volatility equations, findings indicate that the day of the week effect is present for the examined indices of the emerging ASE over the period 1995-2000. However, this stock market anomaly seems to loose its strength and significance in the ASE over the period 2001-2004, which might be due to the Greek entry to the Euro-Zone and the market upgrade to the developed.
Author: Costas Siriopoulos Publisher: ISBN: Category : Languages : en Pages : 30
Book Description
In this paper a new measure of Greek stock market volatility based on the prices of FTSE/ATHEX-20 index options is proposed. Greek Implied Volatility Index is calculated using the model-free methodology that involves option prices summations and is independent from the Black and Scholes pricing formula. The specific method is applied for the first time in a peripheral and illiquid market as the Athens Exchange.The empirical findings of this paper show that the proposed volatility index includes information about future realized volatility beyond that contained in past volatility and in addition, show that there is a statistically significant negative and asymmetric contemporaneous relationship between the returns of the implied volatility index and the underlying equity index. Finally, the volatility transmission effects on the Greek stock exchange from two leading markets, namely the New York Stock Exchange and the Deutsche Bouml;rse, are tested and documented.
Author: John B. McDermott Publisher: ISBN: Category : Languages : en Pages :
Book Description
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.
Author: Manolis G. Kavussanos Publisher: ISBN: Category : Languages : en Pages : 0
Book Description
In this paper, we examine the effects of price limits on the stock volatility in ASE. We put forward two hypotheses, the information hypothesis, which implies that price limits only slow down the process of adjustment and have no effect on stock volatility; and the overreaction hypothesis, which assumes that investors tend to overreact to new information, so that price limits give them time to reassess the information and reduce stock volatility. Our results show strong support for the information hypothesis. This evidence is obtained by performing the tests on ten stocks, which include heavily traded stocks as well as less active stocks covering a variety of industries, and on a market wide price index. The results are also robust to the frequency of the measurement of the returns, and to the tightness of the limits.
Author: Dimitrios D. Thomakos
Author: Dimitrios D. Thomakos
Author: Dimitrios D. Thomakos
Author: Dimitrios D. Thomakos
Author: Timotheos Angelidis
Author: Timotheos Angelidis
Author: Timotheos Angelidis
Author: Dimitris Kenourgios
Author: Costas Siriopoulos
Author: John B. McDermott
Author: Manolis G. Kavussanos