Μελέτη της επίδρασης σημαντικών γεγονότων στην μεταβλητότητα των τιμών των μετοχών
A event study on the effect of important events on common stock price volatility
SubjectΜετοχές -- Τιμές
KeywordsΜεταβλητότητα (volatility) ; Χρηματιστηριακοί δείκτες ; Χρηματιστήρια αξιών ; Οικονομική κρίση
The present study investigates the volatility of stock prices in times of significant developments in the economic, social and political life. Four estimators, who have been applied extensively in literature, have been used regarding the stock market in Athens and New York during the period 2000-2016. The study also investigates the effect of a series of important events that took place in Greece and the USA. The results confirm the respective studies. Findings can be summarized as follows: -The major events causing concern among investors regarding the developments that will affect the economy, increase the volatility of the respective stock markets. After having eliminated this concern, volatility returns to normal. When risky conditions are formulated in the economy, volatility is not only increased dramatically, but also remains at a high level in a long turn as long as the economic perspectives are not improved. This is currently the case in Greece, which is still plagued by the economic crisis for the seventh consecutive year. The findings are in harmony with the respective findings of empirical studies that have been conducted in a wide range of countries and periods.