Volatility Analysis of Blue Chips in a Small Market

12 Pages Posted: 11 Feb 2009 Last revised: 13 Feb 2009

See all articles by Nikolaos Sariannidis

Nikolaos Sariannidis

TEI of West Macedonia

George Konteos

Technological Educational Institute (TEI) of West Macedonia

Themistokles G. Lazarides

Technological Educational Institute of Western Macedonia

Dimitrios Zissopoulos

affiliation not provided to SSRN

Date Written: February 10, 2009

Abstract

In this paper we examine the pattern of stock returns and volatility at an individual share level in the Greek stock market, which is subject to various international and domestic influences. The introduction of foreign and domestic indices to analyze basic stock trends is common in the literature, however, in small markets, such as the Greek market, we should be particularly cautious, because there are some especially influential shares, which possibly lead the market. We have utilized two such shares, namely the shares of the Greek National Bank and of the Hellenic Telecommunications Organization. In this framework, the role of Individual Stock Futures has been examined. The empirical findings were based upon Granger causality tests and the GARCH models.

Keywords: volatility, derivative trading

JEL Classification: G13, G14

Suggested Citation

Sariannidis, Nikolaos and Konteos, George and Lazarides, Themistokles G. and Zissopoulos, Dimitrios, Volatility Analysis of Blue Chips in a Small Market (February 10, 2009). Available at SSRN: https://ssrn.com/abstract=1340650 or http://dx.doi.org/10.2139/ssrn.1340650

Nikolaos Sariannidis (Contact Author)

TEI of West Macedonia ( email )

KOILA
KOZANI
Greece

George Konteos

Technological Educational Institute (TEI) of West Macedonia ( email )

Kila
Kozani, Kozani 50100
Greece

Themistokles G. Lazarides

Technological Educational Institute of Western Macedonia ( email )

Larisa, Greece
Larisa, 41110
Greece
00302410684323 (Phone)

Dimitrios Zissopoulos

affiliation not provided to SSRN ( email )

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