Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
964377 | Journal of International Financial Markets, Institutions and Money | 2006 | 14 Pages |
Abstract
This paper analyses the impact of exogenous national security related shocks on the time-varying volatility structure of the Greek stock market. Alternative autoregressive conditional heteroscedastic models are estimated, in order to identify the best fit that adequately describes return volatility behavior, testing symmetric as well as asymmetric innovation responses. An external national security related shock factor is included as well as a military crisis dummy, in order to depict possible implications for the conditional variance. The empirical findings appear to support a statistically significant impact of both national security related factors on the Athens stock market returns.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Emmanuel Athanassiou, Christos Kollias, Theodore Syriopoulos,