Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7364608 | Journal of International Financial Markets, Institutions and Money | 2016 | 35 Pages |
Abstract
This paper investigates return and volatility spillovers among Large, Medium and Small size stock portfolios in Athens Stock Exchange by employing an augmented univariate and multivariate VAR-EGARCH model. As a robustness test, a Monte Carlo simulation is undertaken in order to disentangle the impact of non-synchronous trading. We find that the transmission mechanism in ASE is less asymmetric after the recent financial crisis. In addition, there are spillovers among Large, Medium and Small size stocks, with a feedback effect revealed as well. The simulation results suggest that non-synchronous trading accounts for spillover effects in volatility in the post-crisis period. Our results entail implications for investors, listed companies and policy makers.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Athanasios Koulakiotis, Vassilios Babalos, Nicholas Papasyriopoulos,