| Abstract : | Till the recent years, a proliferation of published papers based on the measuring of the impact of news releases on economic and financial indices is observed. The key for the impact assessment of the news announcements as well as the political events to gain attractiveness is the stressed period followed by 2007 crisis, which presence is still tangible in Greek economy. Parsing news from Bloomberg Database, GARCH-class models are developed in order to measure the influence of the events on the volatility of Greek stock index returns during the crucial period of the First Adjustment Program in Greece, in May 2010. The empirical findings show that the daily announcements, combined with the political events that actually happened are found statistically significant and a remarkable part of the stock index volatilty is attributed to the events variable. Political events binary variable along with the 3- month EURIBOR returns are found to affect the volatility of the local FTSE25 stock index, during the First Agreement in May 2010, Meanwhile, in Banking and Construction sector analysis, similar results are obtained, marking the significant influence of the political news announcements in stock market volatility.
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