Investigating the effects of market microstructure on stock price formation and volatility: Evidence from the Athens Stock Exchange

Christos Alexakis, Dimitris Balios

    Research output: Contribution to journalArticlepeer-review

    Abstract

    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.

    Original languageEnglish
    Pages (from-to)225-231
    Number of pages7
    JournalApplied Financial Economics Letters
    Volume4
    Issue number3
    DOIs
    Publication statusPublished - May 2008

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