Volatility Analysis of Blue Chips in a Small Market

Abstract

In this paper we examine the pattern of stock returns and volatility at an individual share level in the Greek stock market, which is subject to various international and domestic influences. The introduction of foreign and domestic indices to analyze basic stock trends is common in the literature, however, in small markets, such as the Greek market, we should be particularly cautious, because there are some especially influential shares, which possibly lead the market. We have utilized two such shares, namely the shares of the Greek National Bank and of the Hellenic Telecommunications Organization. In this framework, the role of Individual Stock Futures has been examined. The empirical findings were based upon Granger causality tests and the GARCH models.