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Testing the Efficiency of the Athens Stock Exchange: Some Results from the Banking Sector

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Author Info

  • Stengos, Thanasis
  • Panas, E

Abstract

In this study the authors test the efficient market hypothesis in the Athens Stock Exchange for a number of selected stocks from the banking sector. They distinguish between a "weak" and "semi-strong" version of the hypothesis depending on the agents' information sets. For the "weak" version they apply a recently developed test by W. A. Brock, W. D. Dechert, and J. Scheinkman (1987) to test for the presence of nonlinear structure in the residuals of rates of return regressions of these stocks. To test the "semi-strong" form of the efficiency hypothesis the authors carry out tests of cointegration following the methodology of C. W. J. Granger and R. F. Engle (1987). They find no noticeable presence of nonlinearities in the standardized residuals for these series. Also they find no evidence of cointegration and hence no Granger causality between the different stocks. Their findings support the "weak" and "semi-strong" versions of the efficient market hypothesis.

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Bibliographic Info

Article provided by Springer in its journal Empirical Economics.

Volume (Year): 17 (1992)
Issue (Month): 2 ()
Pages: 239-52

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Handle: RePEc:spr:empeco:v:17:y:1992:i:2:p:239-52

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Cited by:
  1. Laopodis, Nikiforos T., 2004. "Financial market liberalization and stock market efficiency: Evidence from the Athens Stock Exchange," Global Finance Journal, Elsevier, vol. 15(2), pages 103-123, August.
  2. Appiah-Kusi, Joe & Menyah, Kojo, 2003. "Return predictability in African stock markets," Review of Financial Economics, Elsevier, vol. 12(3), pages 247-270.
  3. Krämer, Walter, 1997. "Kointegration von Aktienkursen," Technical Reports 1997,11, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  4. Robert F. Engle & Aaron D. Smith, 1999. "Stochastic Permanent Breaks," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 553-574, November.
  5. Frank Westermann, 2002. "Stochastic Trends and Cycles in National Stock Market Indices: Evidence from the U.S., the U.K. and Switzerland," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 138(III), pages 317-328, September.
  6. Richards, Anthony J., 1995. "Comovements in national stock market returns: Evidence of predictability, but not cointegration," Journal of Monetary Economics, Elsevier, vol. 36(3), pages 631-654, December.
  7. George Mountis, 2012. "Banks’ Domestic & Cross-border M&As: Where Can They Go Wrong?," Cyprus Economic Policy Review, University of Cyprus, Economics Research Centre, vol. 6(1), pages 39-67, June.
  8. Ralf Ostermark & Jaana Aaltonen & Henrik Saxen & Kenneth Soderlund, 2004. "Nonlinear modelling of the Finnish Banking and Finance branch index," The European Journal of Finance, Taylor & Francis Journals, vol. 10(4), pages 277-289.

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