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Time–series Behavior of Intra–daily Data from the Athens Stock Exchange
Author(s) -
Markellos Raphael N.,
Siriopoulos Costas
Publication year - 2002
Publication title -
international transactions in operational research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.032
H-Index - 52
eISSN - 1475-3995
pISSN - 0969-6016
DOI - 10.1111/1475-3995.00377
Subject(s) - equity (law) , econometrics , autoregressive conditional heteroskedasticity , stock exchange , time series , series (stratigraphy) , stock (firearms) , economics , mathematics , statistics , volatility (finance) , finance , geography , paleontology , archaeology , political science , law , biology
This paper explores the time–series behavior of intra–daily equity index data from the emerging Athens Stock Exchange (ASE). After a brief description of the ASE trading mechanisms, the empirical analysis investigates a variety of time–series characteristics including unconditional distribution, microstructures, and predictabilities in the first two moments. While overall the results are comparable to those reported for developed equity markets, it appears that the only significant predictabilities involve seasonalities and dynamics in the variance of the GARCH(1,1) type.