Spillover effects among share prices in the Athens Stock Exchange

Abstract

The aim of this paper is to investigate the spillover effects among shares in the Athens Stock Exchange. The data sample covers the period between 2001 and 2006 and is of daily frequency. The econometric part of the analysis is based on the VAR (q) - BEKK GARCH (1,1) framework in order to capture the dynamics of the spillover effects between share prices after eliminating the returns interdependence. According to the empirical results of our analysis, there exist significant spillover effects between share prices. Hence, the examined share prices seem to share an interactive structure on their volatilities, which might be potentially useful for effective risk management and/or profitable asset allocation.
JEL Classifications: G11-Portfolio Choice; Investment Decisions.

Keywords: Spillover effects, Share returns, Diffusion of volatility and portfolio risk management.