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Financial crisis, liquidity and dynamic linkages between large and small stocks: Evidence from the Athens Stock Exchange

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  • Koulakiotis, Athanasios
  • Babalos, Vassilios
  • Papasyriopoulos, Nicholas

Abstract

This paper investigates return and volatility spillovers among Large, Medium and Small size stock portfolios in Athens Stock Exchange by employing an augmented univariate and multivariate VAR-EGARCH model. As a robustness test, a Monte Carlo simulation is undertaken in order to disentangle the impact of non-synchronous trading. We find that the transmission mechanism in ASE is less asymmetric after the recent financial crisis. In addition, there are spillovers among Large, Medium and Small size stocks, with a feedback effect revealed as well. The simulation results suggest that non-synchronous trading accounts for spillover effects in volatility in the post-crisis period. Our results entail implications for investors, listed companies and policy makers.

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  • Koulakiotis, Athanasios & Babalos, Vassilios & Papasyriopoulos, Nicholas, 2016. "Financial crisis, liquidity and dynamic linkages between large and small stocks: Evidence from the Athens Stock Exchange," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 40(C), pages 46-62.
    • Handle: RePEc:eee:intfin:v:40:y:2016:i:c:p:46-62
    DOI: 10.1016/j.intfin.2015.06.004
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    More about this item

    Keywords

    Return; Volatility; Spillovers; Asymmetric response; Non-synchronous trading;
    All these keywords.

    JEL classification:

    • G00 - Financial Economics - - General - - - General
    • G01 - Financial Economics - - General - - - Financial Crises
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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