Phylaktis, Kate; Kavussanos, Manolis G; Manalis, Gikas - In: European Financial Management 2 (1996) 1, pp. 113-126
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...