The drivers of volume volatility: A big data analysis based on economic uncertainty measures for the Greek banking system

Leonidas Theodorakopoulos · Hera Antonopoulou · Vicky Mamalougou · Konstantinos C. Giotopoulos

40 citations0/0 files storedBanks and Bank Systems

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

Abstract

In this paper, an investigation is conducted to estimate the effect of economic uncertainty on volume volatility, focusing on four systemic Greek banking institutions, including (i) Alpha Bank, (ii) Eurobank, (iii) National Bank of Greece, and (iv) Piraeus Bank. The purpose of this study is to explain in detail if the EPU is linked with volume volatility in the largest banking institutions in Greece. For the analysis of this paper, data used are monthly data of volume to explain the economic uncertainty on volume volatility. The analysis period covers the period from January 2001 to August 2018, incorporating various market phases, such as the global financial crisis of 2008, the European debt crisis, and capital controls in the Greek economy. The methodology used for the research is the well-known GARCH model. Based on the estimated regressions, the present research findings showed that economic uncertainty has various effects on the volume volatility of the four systemic Greek banking institutions. More specifically, when economic uncertainty receives a high value, then the volatility of the volume in Greek banking institutions increases, receiving a higher value. In conclusion, it is observed that economic uncertainty positively affects the volume volatility of the Greek banking system.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 40 citations exist upstream.

References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 2016Measuring Economic Policy Uncertainty*2012Uncertainty about Government Policy and Stock Prices 2011The World’s Technological Capacity to Store, Communicate, and Compute Information 2015The Asset-Pricing Implications of Government Economic Policy Uncertainty 2002Rating Banks: Risk and Uncertainty in an Opaque Industry 2013Dynamic co-movements of stock market returns, implied volatility and policy uncertainty

Cited by

2023Utilizing Machine Learning to Reassess the Predictability of Bank Stocks 2025Big data in financial risk management: evidence, advances, and open questions: a systematic review 2023Big Data and Consumer Behavior: The Power and Pitfalls of Analytics in the Digital Age 2025Enhancing Transparency and Efficiency in Auditing and Regulatory Compliance with Disruptive Technologies 2024Women’s Tourism Entrepreneurship: Digital Approach and E-Skills in Travel Business Marketing

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.