Dynamic volatility and external security related shocks: The case of the Athens Stock Exchange

dc.creator	Athanassiou, E.	en
dc.creator	Kollias, C.	en
dc.creator	Syriopoulos, T.	en
dc.date.accessioned	2015-11-23T10:23:18Z
dc.date.available	2015-11-23T10:23:18Z
dc.date.issued	2006
dc.identifier	10.1016/j.intfin.2005.04.001
dc.identifier.issn	10424431
dc.identifier.uri	http://hdl.handle.net/11615/26032
dc.description.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. © 2005 Elsevier B.V. All rights reserved.	en
dc.source	Journal of International Financial Markets, Institutions and Money	en
dc.source.uri	http://www.scopus.com/inward/record.url?eid=2-s2.0-33749996024&partnerID=40&md5=df8880925fa1fb043238cf2a55c38df4
dc.subject	Athens Stock Exchange	en
dc.subject	Conditional volatility	en
dc.subject	External national security shocks	en
dc.title	Dynamic volatility and external security related shocks: The case of the Athens Stock Exchange	en
dc.type	journalArticle	en

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