Time-series behavior of intra-daily data from the Athens Stock Exchange

This paper explores the time-series behavior of intra-daily equity index data from the emerging Athens Stock Exchange (ASE). After a brief description of the ASE trading mechanisms, the empirical analysis investigates a variety of time-series characteristics including unconditional distribution, microstructures and predictabilities in the first two moments. While overall the results are comparable to those reported for developed equity markets, it appears that the only significant predictabilities involve seasonalities and dynamics in the variance of the GARCH(1,1) type.