The Efficiency of Capital Market Microstructure in Greece

Abstract

The auction principles, clearance, settlement, and depository facilities of the Greek stock market are described. An autoregressive model is found to characterize the time series properties of stock returns and volatility in the Athens Stock Exchange market reasonably well. The extremely high volatility of the market is explained well by its lagged volatilities along with trading volumes. Further scrutiny reveals that trading volumes and volatility are endogenous in a vector autoregressive process (VAR) system for the Athens Stock Exchange General Index. Foreign shares are found to behave differently from domestic shares in several respects.