I looked into it briefly in 2000, but didn't like their disclosure rules... alot of movement was available to corporate secrecy in Greece- my mortgage broker invests there, but only because that is where he got his finance education and he knows the rules and the players very well in his native land- he was both the reason that peaked my interest and the first to caution me against it. Perhaps, much of the securities laws in Greece have changed, that I know nothing of and perhaps another 'player' may comment. As for foreign stock exchange exposure, I've only tried Mexico, Israel, Egypt, the UK and Russia and mainland Germany....but, I do have more foreign exposure through larger companies listed usually on the NYSE.
If you have some inside knowledge, that prevails over all... as with any investment. Keep in mind, I myself have made over 70% twice in my investing career on the TSX, but over 60% 4x's, over 12% 11x's since 1992. and that is enough alone for me to not venture to heavily anywhere else. 12% is the return that I feel as a worthwhile 'goal' as it is mostly easily achievable, consistent, and worth the time I put in compared to more passive investments.