Title: Volatility of stock returns: the case of the Belgian Stock Exchange

Authors: Nikolaos Sariannidis, Ioannis Koskosas, Alexandros Garefalakis, Ioannis Antoniadis

Addresses: Technological Education Institute of Western Macedonia, Kozani, Koila TEI, 50100, Greece. ' Department of Mechanical Engineering and Telecommunications, University of Western Macedonia, Kozani, Lygeris 33, 50100, Greece. ' Technological Education Institute of Crete, Arkalohori-TEI, Iraklio-Crete, Greece. ' Agricultural Bank of Greece, Kozani, Venizelou 54, 50100, Greece

Abstract: This investigation focuses on the volatility of stock returns in the Belgian Stock Exchange from the period of April 1991 to April 2008. Empirical results have shown that there is a mean and volatility spillover effect from the big European markets. There are also mean spillover effects from the markets of the USA and the UK to the market of Belgium. The formation of Euronext stock exchange in September 2000 has affected the conditional volatility. Ultimately, the structural analysis of volatility with the GJR-GARCH model have shown that current volatility is more influenced by past volatility rather than by the previous day shocks.

Keywords: stock returns volatility; Euronext Brussels; GARCH model; Belgium; Belgian Stock Exchange.

DOI: 10.1504/IJBFMI.2009.028450

International Journal of Business Forecasting and Marketing Intelligence, 2009 Vol.1 No.2, pp.111 - 121

Published online: 17 Sep 2009 *

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