English, Article edition: Investigating the effects of market microstructure on stock price formation and volatility: evidence from the Athens Stock Exchange Christos Alexakis; Dimitris Balios

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Bookmark: http://trove.nla.gov.au/version/50585
Physical Description
  • article
Language
  • English

Edition details

Title
  • Investigating the effects of market microstructure on stock price formation and volatility: evidence from the Athens Stock Exchange
Author
  • Christos Alexakis
  • Dimitris Balios
Physical Description
  • article
Notes
  • In this article, we investigate the possibility that stock market microstructure characteristics might affect price formation and volatility in the Athens Stock Exchange (ATHEX). We conclude that alterations in the structure and the duration of the trading session do not affect volatility or increase informational efficiency. In addition, statistical evidence is provided that the continuous trading system seems more efficient than the system of trading sessions with halts.
  • RePEc:taf:apfelt:v:4:y:2008:i:3:p:225-231
Language
  • English
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