This paper examines the volatility of common stocks of the Athens Stock Exchange at the market, industry and firm level. Over the period from 1988 to 2009 there has been a considerable increase in firm-level volatility relative to the market volatility, which implies that it takes increasingly more stocks to diversify away idiosyncratic risk. All volatility series move together and they are trended upwards. All three volatility measures show a countercyclical behaviour relative to GDP growth, and they all help to forecast GDP. Correlations among individual stocks have increased over the sample period, yet the explanatory power of the market model for a typical stock is still relatively low. All three volatility series rise during times of low returns. Factors that may be responsible for these findings are suggested.