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The Impact of Euro on Athens Stock Market Index

Apostolos Kiohos ; University of Macedonia, Department of International and European Studies, Greece
Athanasios Koulakiotis ; University of Macedonia, Department of International and European Studies, Greece
Anastasios Maligkris ; University of Macedonia, Greece

Sažetak

This paper examines whether the introduction of Euro in the Greek market has changed the attitude of the Athens Stock Index due time. The estimation results indicate that after the introduction of Euro, the ASE index had more asymmetric effect, while there was a decrease in the existing persistence. In addition, it was depicted that the sign of innovations is signifi cant in the after-Euro period, showing that only the large negative shocks can cause more volatility in contrast to the pre-Euro period, and thus the risk of the ASE index’s stocks was more increased in the after-Euro period.

Ključne riječi

Athens Stock Market; Impact of Euro; EGARCH; IGARCH; Asymmetries

Hrčak ID:

78757

URI

https://hrcak.srce.hr/78757

Datum izdavanja:

1.12.2011.

Posjeta: 892 *