Systematic risk and market microstructure in a market under conditions of economic crisis. The case of the Athens Stock Exchange.
The objective of this task is to examine the estimation of systematic risk (often called Beta coefficient) in its relation to some market microstructure phenomena such as thin trading, the so-called intervalling effect, and the effect of changing the starting period in calculating asset returns in a...
Αποθηκεύτηκε σε:
| Κύριος συγγραφέας: | |
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| Άλλοι συγγραφείς: | |
| Γλώσσα: | English |
| Δημοσίευση: |
2018
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| Θέματα: | |
| Διαθέσιμο Online: | http://hdl.handle.net/11610/18424 |
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| Περίληψη: | The objective of this task is to examine the estimation of systematic risk (often called Beta coefficient) in its relation to some market microstructure phenomena such as thin trading, the so-called intervalling effect, and the effect of changing the starting period in calculating asset returns in a capital market under conditions of economic crisis. The data under consideration are daily closing prices of stocks traded at the Athens Stock Exchange (ASE) covering the period 25/09/2012 – 22/09/2017. That period was particularly intense on the economic and political front of the country, considering the acute economic crisis that was over Greece, thus depicting a turbulent image of the ASE.
It is therefore of particular interest, amongst others, to examine the validity of some stylized facts regarding the effect of friction in the trading process on the estimation of betas for the underlying period of this study. More concretely, the price adjustment delays resulting from friction in the trading process causes beta estimates not to be invariant but to change systematically with respect to the differencing interval over which asset and market index returns are calculated (“intervalling effect”). Furthermore, the abovementioned bias in betas is higher for thinner firms.
Another effect that has been noticed in previous studies and also related with the estimation of systematic risk is the one that arises for the same differencing interval but a different starting day (henceforth “Corhay effect”), but the importance of this phenomenon yet has not been sufficiently assessed quantitatively.
The current study provides evidence for the following: (a) The Corhay effect is intense and fortified further as the differencing interval is lengthened; (b) The intervalling effect is extremely weak, if any, although it was found strong for the same market at previous time periods; (c) low cap stocks expose clearly stronger Corhay effect as compared to large cap stocks; (d) Corhay effect overwhelmingly dominates over the intervalling effect and it is the determining factor of changes in betas; (e) The importance of the Corhay phenomenon has not been properly assessed in the published research thus far, as it is either ignored completely or smoothed away by taking average betas for the same differencing interval but different starting period. |
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