Testing the efficient market hypothesis using panel data, with application to the Athens stock market
AbstractThis paper performs unit root tests using panel data to investigate empirically stock price efficiency of the Athens stock market. Our Wald test statistics reject the random walk hypothesis for stock prices, which is a necessary condition for market efficiency.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics Letters.
Volume (Year): 3 (1996)
Issue (Month): 2 ()
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Web page: http://www.tandfonline.com/RAEL20
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- Anastassios A. Drakos & Georgios P. Kouretas & Leonidas P. Zarangas, 2010. "Forecasting financial volatility of the Athens stock exchange daily returns: an application of the asymmetric normal mixture GARCH model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(4), pages 331-350.
- Khim-Sen Liew & Kian-Ping Lim & Chee-Keong Choong, 2003. "On The Forecastability Of Asean-5 Stock Markets Returns Using Time Series Models," Finance 0307012, EconWPA.
- Graham Smith & Hyun-Jung Ryoo, 2003. "Variance ratio tests of the random walk hypothesis for European emerging stock markets," The European Journal of Finance, Taylor & Francis Journals, vol. 9(3), pages 290-300.
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