Harilaos Mertzanis
     Director, Department of Research and Monitoring of the Capital Market
     Hellenic Capital Market Commission

Abstract
The auction principles, clearance, settlement and depository facilities of the Greek stock market are analyzed. The development of the Athens Stock Exchange is described, including the order matching system, the trading methods, the auction process for bid-ask prices and the types of shares traded. Then an autoregressive model is used to characterize the time-series properties of stock returns and volatility in the Athens Stock Exchange. The high volatility of the market is explained well by its lagged volatilities along with trading volume. Further analysis, based on the use of a VAR model, shows a certain degree of endogeneity in trading volumes and volatility.