63-76

• Maligkris, Anastasios

The objective of this paper is to examine the structures of the Athens Stock Market from the moment that became a mature market and more specifically during the last decade. Hereby, I will focus on the volatility of the three main indices (FTSE/ASE 20, FTSE/ASE Mid 40 and FTSE/ASE Small Cap 80) and the possible linear and nonlinear feedbacks that may have been created among them, depicting thus how the indices interact with each other. The results showed that the ASE 20 Index was much more volatile than the other two indices. Moreover, it was found that the ASE 20 Index affected linear and non linear the ASE Mid 40 Index and the ASE Small Cap 80 Index but there was not a linear or nonlinear feedback between them. Finally, no linear or nonlinear interaction was found between the ASE Mid 40 Index and the ASE Small Cap 80 Index confirming thus the hypothesis of the non existence of linear or nonlinear feedback between them.

• Economics and Business

• Economics

Athens Stock Market, Volatility, VAR model, Mackey-Glass process, Nonlinear model, Feedback.

JEL: C580, G100