Author: George PassarisPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Time Analysis of Stock Prices in the Athens Stock Exchange
Author: George PassarisThe Stock Market in Greece
Author: Nikitas A. NiarchosPublisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 299
Book Description
Stock Prices and the Flow of Information in the Athens Stock Exchange
Author: Gikas ManalisPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
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.
Stock Prices and the Flow of Information in the Athens Stock Exchange
Author: Manolis G. KavussanosPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
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.
The Efficiency of the Athens Stock Exchange
Author: Elias MavrikosThe Role of Realized Volatility in the Athens Stock Exchange
Author: Dimitrios D. ThomakosPublisher:
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.
Theory and Applications of Time Series Analysis
Author: Olga ValenzuelaPublisher: Springer Nature
ISBN: 3030562190
Category : Business & Economics
Languages : en
Pages : 460
Book Description
This book presents a selection of peer-reviewed contributions on the latest advances in time series analysis, presented at the International Conference on Time Series and Forecasting (ITISE 2019), held in Granada, Spain, on September 25-27, 2019. The first two parts of the book present theoretical contributions on statistical and advanced mathematical methods, and on econometric models, financial forecasting and risk analysis. The remaining four parts include practical contributions on time series analysis in energy; complex/big data time series and forecasting; time series analysis with computational intelligence; and time series analysis and prediction for other real-world problems. Given this mix of topics, readers will acquire a more comprehensive perspective on the field of time series analysis and forecasting. The ITISE conference series provides a forum for scientists, engineers, educators and students to discuss the latest advances and implementations in the foundations, theory, models and applications of time series analysis and forecasting. It focuses on interdisciplinary research encompassing computer science, mathematics, statistics and econometrics.
Cross-Sectional Analysis of Stock Returns in Athens Stock Exchange for the Period 2004-2011
Author: Argyro SvingouStock Price Movement Analysis of the Financials Industry on the Stock Exchange of Thailand
Author: Nittaya WiboonprapatPublisher:
ISBN:
Category : Financial institutions
Languages : en
Pages : 176
Book Description
Anatomy of Global Stock Market Crashes
Author: Gagari ChakrabartiPublisher: Springer Science & Business Media
ISBN: 8132204638
Category : Business & Economics
Languages : en
Pages : 69
Book Description
This work is an exploration of the global market dynamics, their intrinsic natures, common trends and dynamic interlinkages during the stock market crises over the last twelve years. The study isolates different phases of crisis and differentiates between any crisis that remains confined to the region and those that take up a global dimension. The latent structure of the global stock market, the inter-regional and intra-regional stock market dynamics around the crises are analyzed to get a complete picture of the structure of the global stock market. The study further probing into the inherent nature of the global stock market in generating crisis finds the global market to be chaotic thus making the system intrinsically unstable or at best to follow knife-edge stability. The findings have significant bearing at theoretical level and on policy decisions.