Volatility of stock returns: the case of the Belgian Stock Exchange. (18th September 2009)

• Record Type: Journal Article
• Authors: Sariannidis, Nikolaos; Koskosas, Ioannis; Garefalakis, Alexandros; Antoniadis, Ioannis
• Is Part Of: International journal of business forecasting and marketing intelligence. Volume 1:Number 2(2009)
• Page Start: 111
• Page End: 121
• Publication Date: 2009-09-18
• Subjects: stock returns volatility -- Euronext Brussels -- GARCH model -- Belgium -- Belgian Stock Exchange; Business forecasting -- Periodicals; Marketing research -- Periodicals; 658.40355
• Languages: English
• ISSNs: 1744-6635

Abstract

This investigation focuses on the volatility of stock returns in the Belgian Stock Exchange from the period of April 1991 to April 2008. Empirical results have shown that there is a mean and volatility spillover effect from the big European markets. There are also mean spillover effects from the markets of the USA and the UK to the market of Belgium. The formation of Euronext stock exchange in September 2000 has affected the conditional volatility. Ultimately, the structural analysis of volatility with the GJR-GARCH model have shown that current volatility is more influenced by past volatility rather than by the previous day shocks.