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

Christos Alexakis; Dimitris Balios

doi:10.1080/17446540701704364

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

Christos Alexakis
, Dimitris Balios

University of Piraeus

Research output: Contribution to journal › Article › peer-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 language	English
Pages (from-to)	225-231
Number of pages	7
Journal	Applied Financial Economics Letters
Volume	4
Issue number	3
DOIs	https://doi.org/10.1080/17446540701704364
Publication status	Published - May 2008

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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.",

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AB - 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.

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

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