Please use this identifier to cite or link to this item:
https://ruomo.lib.uom.gr/handle/7000/656
Title: | Feedback trading and short-term return dynamics in Athens Stock Exchange |
Authors: | Kyrkilis, Dimitrios Koulakiotis, Athanasios Babalos, Vassilios Kyriakou, Maria |
Type: | Article |
Subjects: | FRASCATI::Social sciences |
Keywords: | Feedback trading Multivariate EGARCH Short-term dynamics Size portfolios G15 |
Issue Date: | 2018 |
Source: | International Journal of Managerial Finance |
Volume: | 14 |
Issue: | 5 |
First Page: | 574 |
Last Page: | 590 |
Abstract: | Purpose The purpose of this paper is to examine the hypothesis of feedback trading along with the short-term return dynamics of three size-based stock portfolios of Athens Stock Exchange during the Greek debt crisis period. Design/methodology/approach To this end, the authors employ for the first time in the literature two well-known models while the variance equation is modeled by means of a multivariate EGARCH specification. As a robustness test an innovative nested-EGARCH model is also employed. Findings The assumption that positive feedback trading is an important component of the short-term return movements across the three stock portfolios receives significant support. Moreover, the volatility interdependence, both in magnitude and sign, is almost similar across the three models. Finally, bad news originating from the portfolio of small stock appears to have a higher impact on the volatility of large and medium size stock returns than good news during the Greek debt crisis period. Originality/value The methodology is innovative and the authors test for the first time the feedback trading hypothesis across different size stocks. The authors believe that the results might entail significant policy implications for investors and market regulators. |
URI: | https://doi.org/10.1108/IJMF-07-2017-0145 https://ruomo.lib.uom.gr/handle/7000/656 |
ISSN: | 1743-9132 |
Other Identifiers: | 10.1108/IJMF-07-2017-0145 |
Appears in Collections: | Department of Balkan, Slavic & Oriental Studies |
Files in This Item:
File | Description | Size | Format | |
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International Journal of Managerial Finance.pdf | 629,09 kB | Adobe PDF | View/Open |
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