Email this article Impact of international volatility and the introduction of individual stock futures on the volatility of a small market
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.
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.
Keywords
Stock Market; Statistical method; Greece
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