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Investigating the effects of market microstructure on stock price formation and volatility: evidence from the Athens Stock Exchange

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  • Christos Alexakis
  • Dimitris Balios

Abstract

In this article, we investigate the possibility that stock market microstructure characteristics might affect price formation and volatility in the Athens Stock Exchange (ATHEX). We conclude that alterations in the structure and the duration of the trading session do not affect volatility or increase informational efficiency. In addition, statistical evidence is provided that the continuous trading system seems more efficient than the system of trading sessions with halts.

Suggested Citation

  • Christos Alexakis & Dimitris Balios, 2008. "Investigating the effects of market microstructure on stock price formation and volatility: evidence from the Athens Stock Exchange," Applied Financial Economics Letters, Taylor & Francis Journals, vol. 4(3), pages 225-231.
    • Handle: RePEc:taf:raflxx:v:4:y:2008:i:3:p:225-231
    DOI: 10.1080/17446540701704364
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