Systematic risk and market microstructure in a market under conditions of economic crisis. The case of the Athens Stock Exchange.

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...

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Bibliographic Details
Main Author: Καραγιώτα, Ελισάβετ
Other Authors: Μηλιώνης, Αλέξανδρος
Language:English
Published: 2018
Subjects:
Systematic risk
Beta coefficient
Market microstructure
Intervalling effect
Corhay effect - Starting day effect
Friction in the trading process
Συστηματικός κίνδυνος
Συντελεστής βήτα
Τριβή στη διαδικασία συναλλαγών
Φαινόμενο Corhay
Φαινόμενο Intervalling
Risk assessment (URL: http://id.loc.gov/authorities/subjects/sh00006258)
Stock exchanges (URL: http://id.loc.gov/authorities/subjects/sh85128191)
Online Access:http://hdl.handle.net/11610/18424
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http://hdl.handle.net/11610/18424

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