Stock prices and the flow of information in the Athens Stock Exchange
用1988至1993年雅典股票交易所的日度数据，研究股价变化与市场信息流的关系，发现交易量和交易额能解释日收益率方差并减少GARCH效应，对市场信息效率有启示。
Abstract The paper investigates the dynamics of price changes and information flow to the market in the Athens Stock Exchange in Greece using daily data over the period 1988 to 1993. A generalised autoregressive conditional heteroskedastic (GARCH) model in stock returns is shown to reflect time dependence in the process generating information flow to the market. Using daily trading volume or value as proxies for information flow, we find them to be significant in explaining the variance of daily returns and to reduce GARCH effects substantially. This has implications for the informational efficiency of the market.