期刊名称：Zagreb International Review of Economics and Business
印刷版ISSN：1331-5609
出版年度：2011
卷号：14
期号：2
页码：1-14
出版社：Ekonomski fakultet Sveučilišta u Zagrebu
摘要：This paper examines whether the introduction of Euro in the Greek market has changed the attitude of the Athens Stock Index due time. The estimation results indicate that after the introduction of Euro, the ASE index had more asymmetric effect, while there was a decrease in the existing persistence. In addition, it was depicted that the sign of innovations is signifi cant in the after-Euro period, showing that only the large negative shocks can cause more volatility in contrast to the pre-Euro period, and thus the risk of the ASE index’s stocks was more increased in the after-Euro period.
关键词：Athens Stock Market; Impact of Euro; EGARCH; IGARCH; Asymmetries
