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Stock prices and the flow of information in the Athens Stock Exchange
Author(s) -
Phylaktis Kate,
Kavussanos Manolis G,
Manalis Gikas
Publication year - 1996
Publication title -
european financial management
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.311
H-Index - 64
eISSN - 1468-036X
pISSN - 1354-7798
DOI - 10.1111/j.1468-036x.1996.tb00031.x
Subject(s) - autoregressive conditional heteroskedasticity , heteroscedasticity , economics , autoregressive model , econometrics , stock exchange , stock (firearms) , stock market , financial economics , conditional variance , volatility (finance) , finance , geography , context (archaeology) , archaeology
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.