Intradaily behavior of listed and unlisted security basket indices in the emerging Greek stock market

Abstract

This paper employs three months of observations sampled at 60‐second intervals to analyze the behavior of two basket indices from the emerging Athens Stock Exchange: the General Index of the Main (Listed) Securities Market and the Index of the Secondary (Unlisted) Securities Market. The empirical analysis employs robust regression using dummy variables to uncover a rich variety of time‐of‐day regularities in the first four moments of the distribution of returns, the tail behavior, and the dynamic and cross‐dynamic behavior of the two markets. Markets tend to behave differently during their opening and closing, while results are invariably sensitive to outliers. Overall, the results are comparable to those reported for developed equity markets. However, in contrast to other studies, we find no conclusive evidence of long‐memory in either the mean or variance process. ARMA models of seasonally differenced absolute returns were used as a simple but effective way of dealing with the strong regularity in volatility.

Citation

Markellos, R.N., Mills, T. and Siriopoulos, C. (2003), "Intradaily behavior of listed and unlisted security basket indices in the emerging Greek stock market", Managerial Finance, Vol. 29 No. 9, pp. 29-54. https://doi.org/10.1108/03074350310768463