Testing the Efficiency of the Athens Stock Exchange: Some Results from the Banking Sector
AbstractIn 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 InfoArticle provided by Springer in its journal Empirical Economics.
Volume (Year): 17 (1992)
Issue (Month): 2 ()
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