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Security price anomalies in an emerging market: the case of the Athens Stock Exchange

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  • Andrew Coutts
  • Christos Kaplanidis
  • Jennifer Roberts

Abstract

This paper investigates the existence of security price anomalies in the Athens Stock Exchange General Index, over an approximate ten year period - 14 October 1986 through 14 August 1996. Three major industry indices are considered: Banking, Insurance and Leasing. Results are somewhat mixed, some evidence for a weekend effect is offered, and it is suggested that the January effect is present for the indices, and becomes stronger through time. Evidence that the holiday effect is, by far, the most significant anomaly in the Athens Stock Exchange is also provided. It appears that following major institutional changes in 1992, the patterns in securities returns began to mirror those of advanced financial markets. To conclude, however, the seasonalities documented would not be able to render potential investors profitable trading strategies net of transaction costs. This is of course entirely consistent with the notion of market efficiency, in that no strategy exists which will consistently yield abnormal returns.

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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

Volume (Year): 10 (2000)
Issue (Month): 5 ()
Pages: 561-571

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Handle: RePEc:taf:apfiec:v:10:y:2000:i:5:p:561-571

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Cited by:
  1. Chong, Ryan & Hudson, Robert & Keasey, Kevin & Littler, Kevin, 2005. "Pre-holiday effects: International evidence on the decline and reversal of a stock market anomaly," Journal of International Money and Finance, Elsevier, vol. 24(8), pages 1226-1236, December.
  2. Michael Batuo Enowbi & Francesco Guidi & Kupukile Mlambo, 2010. "Testing the Weak-form Market Efficiency and the Day of the Week Effects of some African Countries," The African Finance Journal, Africagrowth Institute, vol. 12(Conferenc), pages 1-26.
  3. Andreas Georgantopoulos & Anastasios Tsamis, 2011. "Investigating Seasonal Patterns in Developing Countries: The Case of FYROM Stock Market," International Journal of Economics and Financial Issues, Econjournals, vol. 1(4), pages 211-219.
  4. Bley, Jorg & Saad, Mohsen, 2010. "Cross-cultural differences in seasonality," International Review of Financial Analysis, Elsevier, vol. 19(4), pages 306-312, September.
  5. Drakos, Konstantinos & Kutan, Ali M., 2001. "Opposites attract: The case of Greek and Turkish financial markets," ZEI Working Papers B 06-2001, ZEI - Center for European Integration Studies, University of Bonn.
  6. Mohsen M. Saad, 2006. "Do common variations in liquidity exhibit a U-shaped pattern across weekdays?," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(1), pages 65-68, January.
  7. Dicle, Mehmet F. & Levendis, John, 2011. "Greek market efficiency and its international integration," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(2), pages 229-246, April.
  8. 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.
  9. Dimitris Kenourgios & Aristeidis Samitas & Spyros Papathanasiou, 2005. "The Day of the Week Effect Patterns on Stock Market Return and Volatility: Evidence for the Athens Stock Exchange," Finance 0512028, EconWPA.
  10. Al-Khazali, Osamah M. & Koumanakos, Evangelos P. & Pyun, Chong Soo, 2008. "Calendar anomaly in the Greek stock market: Stochastic dominance analysis," International Review of Financial Analysis, Elsevier, vol. 17(3), pages 461-474, June.
  11. Nikolaos Sariannidis & Evangelos Drimbetas, 2008. "Impact of international volatility and the introduction of Individual Stock Futures on the volatility of a small market," European Research Studies Journal, European Research Studies Journal, vol. 0(3), pages 119-.
  12. George Marrett & Andrew Worthington, 2009. "An empirical note on the holiday effect in the Australian stock market, 1996-2006," Applied Economics Letters, Taylor & Francis Journals, vol. 16(17), pages 1769-1772.
  13. Evangelos Drimbetas & Nikolaos Sariannidis & Nicos Porfiris, 2007. "The effect of derivatives trading on volatility of the underlying asset: evidence from the Greek stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 17(2), pages 139-148.

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