Analysis of Political News in the Greek Stock Market
This research paper examined the relationship between political news and stock market returns and volatility in the Greek stock market using the EGARCH in mean framework. The APARCH model is also utilised in order to capture the persistence effect of news. In order to carry out this investigation da...
| Main Author: | |
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2013
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| Online Access: | https://eprints.nottingham.ac.uk/26651/ |
| _version_ | 1848793218933587968 |
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| author | Takkides, Themistoklis |
| author_facet | Takkides, Themistoklis |
| author_sort | Takkides, Themistoklis |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | This research paper examined the relationship between political news and stock market returns and volatility in the Greek stock market using the EGARCH in mean framework. The APARCH model is also utilised in order to capture the persistence effect of news. In order to carry out this investigation daily data of the Athens Stock Exchange General Price Index (ASEGPI) were obtained using DataStream. Results indicate that returns are unaffected by the release of political news, whilst the conditional variance is affected only from the release of negative news. The EGARCH in mean also reveals the existence of leverage effect, which means that positive news generate higher volatility for ASEGPI rather than negative. The persistence effect, through the APARCH model, is also evidenced in ASEGPI that is the long memory of the stock market. Finally, risk–return trade-off is absent in this market therefore, investors are not rewarded for their exposure to risk. |
| first_indexed | 2025-11-14T18:56:48Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-26651 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T18:56:48Z |
| publishDate | 2013 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-266512017-10-19T13:31:31Z https://eprints.nottingham.ac.uk/26651/ Analysis of Political News in the Greek Stock Market Takkides, Themistoklis This research paper examined the relationship between political news and stock market returns and volatility in the Greek stock market using the EGARCH in mean framework. The APARCH model is also utilised in order to capture the persistence effect of news. In order to carry out this investigation daily data of the Athens Stock Exchange General Price Index (ASEGPI) were obtained using DataStream. Results indicate that returns are unaffected by the release of political news, whilst the conditional variance is affected only from the release of negative news. The EGARCH in mean also reveals the existence of leverage effect, which means that positive news generate higher volatility for ASEGPI rather than negative. The persistence effect, through the APARCH model, is also evidenced in ASEGPI that is the long memory of the stock market. Finally, risk–return trade-off is absent in this market therefore, investors are not rewarded for their exposure to risk. 2013 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/26651/1/Dissertation_Themistoklis_Takkides.pdf Takkides, Themistoklis (2013) Analysis of Political News in the Greek Stock Market. [Dissertation (University of Nottingham only)] (Unpublished) |
| spellingShingle | Takkides, Themistoklis Analysis of Political News in the Greek Stock Market |
| title | Analysis of Political News in the Greek Stock Market |
| title_full | Analysis of Political News in the Greek Stock Market |
| title_fullStr | Analysis of Political News in the Greek Stock Market |
| title_full_unstemmed | Analysis of Political News in the Greek Stock Market |
| title_short | Analysis of Political News in the Greek Stock Market |
| title_sort | analysis of political news in the greek stock market |
| url | https://eprints.nottingham.ac.uk/26651/ |