Timeliness of Earnings and Dynamic Interdependence of Stock Equity Indexes within the ASE

This study examines the interdependence of three Greek stock market indexes using a trivariate GARCH model. The trivariate GARCH model takes into account the difference of the timeless of earnings on the 160 above Greek companies, constructing three portfolios of equities based on the 20 higher, 40 middle, and 80 smaller equities. The value of R-squared adjusted metric of an OLS regression is used for the construction of the above three portfolios of equities. After constructing the above three portfolios of equities, these reuslts of interdependency are compared with the results of the three authentic portfolios of equities as they have been constructed by the Greek stock exchange. The main question is to identify whether the interdependence of the three constructed stock indexes, based on the timeliness of earnings R-squared adjusted value, is more dynamic in comparison to the authentic stock indexes as they were constructed by the Greek stock exchange.