Application of Dimson type models in emerging markets: the case of the Athens stock exchange

Abstract

Outlines the special characteristics of the Athens stock exchange which may cause misspecification in the simple market model and make Dimson type models more appropriate. Refers to previous research on then and nonsynchronous trading, discusses the methodological issues involved and applies both simple and Dimson type models to 1993‐1997 data for 22 Greek shares. Finds the latter “in many ways more useful” than the simple model, summarizes the main conclusions and suggests that they may be particularly suited to emerging markets in bullish periods.