The Role of Realised Volatility in the Athens Stock Exchange

38 Pages Posted: 25 Jun 2015

See all articles by Dimitrios D. Thomakos

Dimitrios D. Thomakos

University of Athens, Department of Business Administration

Michail S. Koubouros

University of Peloponnese - Department of Economics

Date Written: June 25, 2015

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.

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 Realised Volatility in the Athens Stock Exchange (June 25, 2015). Multinational Finance Journal, Vol. 15, No. 1/2, p. 87-124, 2011, Available at SSRN: https://ssrn.com/abstract=2622951

Dimitrios D. Thomakos (Contact Author)

University of Athens, Department of Business Administration ( email )

Athens
Greece

HOME PAGE: http://ba.uoa.gr/

Michail S. Koubouros

University of Peloponnese - Department of Economics ( email )

Tripolis, 22100
Greece

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

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