Impact of international volatility and the introduction of Individual Stock Futures on the volatility of a small market

Nikolaos Sariannidis, Evangelos Drimbetas
European Research Studies Journal, Volume XI, Issue 3, 119-, 2008
EOI: 10.11214/thalassinos.11.02.008

Abstract:

This study analyzes the effect of individual share futures as well as the international volatility spillover on the Greek market. We have found that individual share futures have had a beneficial effect on the volatility of the underlying stocks in various ways. We have also concluded that stock returns in the Greek market receive a mean spillover effect from the major markets of the European Union, from the U.S. and Japan markets and volatility spillover only from the major markets in the E.U. The methodology employed is the capturing asymmetries model proposed by Glosten et al. (1989) (GJR) and the period analyzed covers from August 1997 to January 2006.


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