Please use this identifier to cite or link to this item: https://www.um.edu.mt/library/oar/handle/123456789/31867
Title: Impact of international volatility and the introduction of individual stock futures on the volatility of a small market
Authors: Sariannidis, Nikolaos
Drimbetas, Evangelos
Keywords: Stock index futures
Stocks -- Prices
Stock exchanges
Capital market -- Greece
Issue Date: 2008
Publisher: University of Piraeus. International Strategic Management Association
Citation: Sariannidis, N., & Drimbetas, E. (2008). Impact of international volatility and the introduction of individual stock futures on the volatility of a small market. European Research Studies Journal, 11(3), 119-136.
Abstract: This study analyzes the effect of individual share futures as well as the international volatility spillover on the Greek market. We have found that individual share futures have had a beneficial effect on the volatility of the underlying stocks in various ways. We have also concluded that stock returns in the Greek market receive a mean spillover effect from the major markets of the European Union, from the U.S. and Japan markets and volatility spillover only from the major markets in the E.U. The methodology employed is the capturing asymmetries model proposed by Glosten et al. (1989) (GJR) and the period analyzed covers from August 1997 to January 2006.
URI: https://www.um.edu.mt/library/oar//handle/123456789/31867
ISSN: 11082976
Appears in Collections:European Research Studies Journal, Volume 11, Issue 3



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