The Role of Realised Volatility in the Athens Stock Exchange
38 Pages Posted: 25 Jun 2015
Date Written: June 25, 2015
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: Suggested Citation