Stock Market Volatility in an Emerging Market: Further Evidence from the Athens Stock Exchange
研究了1987至1997年雅典证券交易所指数的日和周收益率时间序列特性，对比了1987-90和1991-97两个时期，发现随着市场发展，收益率动态发生了变化。
We investigate the time series properties of the daily and weekly returns from the Athens Stock Exchange (ASE) index for the years 1987 to 1997. We investigate whether important time‐series characteristics have changed significantly over time. The Greek market has recently undergone major changes including complete capital flow liberalization, the implementation of computerized trading, as well as significant increases in market volume and capitalization; we thus contrast the 1987–90 and 1991–97 periods. Our findings suggest the dynamics of the ASE composite index returns have changed as the market has developed.