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Intraday stock price patterns in the Greek stock exchange

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  • N. A. Niarchos
  • C. A. Alexakis

Abstract

A few years ago, the stock market of Greece was a relatively small and under-investigated emerging market. Nevertheless, modernization and some other major reforms that have taken place the last 10 years resulted in the market obtaining more depth and width. In the last decade an increasing number of new companies were listed in the Athens Stock Exchange (ASE) in order to raise capital, and an increasing number of investors entered the market by investing in corporate stocks. These developments boosted the domestic and international investment interest for the Athens Stock Exchange (ASE), which is now expected to gain the characterization of a more developed market. This article is to investigate whether there are certain stock price patterns during the trading sessions; and if such patterns exist it implies a profitable trading rule. The possibility of profitable intraday stock price patterns will form an evidence against the Efficient Market Hypothesis (EMH), according to which, stock price changes or stock returns are expected to be random and thus unpredictable. The results indicate specific price patterns and a trading rule based on the results of this article proved to be not only more profitable compared to the passive 'buy and hold strategy' but also more safe.

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File URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110088166
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Bibliographic Info

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

Volume (Year): 13 (2003)
Issue (Month): 1 ()
Pages: 13-22

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Handle: RePEc:taf:apfiec:v:13:y:2003:i:1:p:13-22

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Cited by:
  1. Chia, Ricky Chee-Jiun & Liew, Venus Khim-Sen & Syed Khalid Wafa, Syed Azizi Wafa, 2006. "Calendar anomalies in the Malaysian stock market," MPRA Paper 516, University Library of Munich, Germany.
  2. Vortelinos, Dimitrios I., 2013. "Portfolio analysis of intraday covariance matrix in the Greek equity market," Research in International Business and Finance, Elsevier, vol. 27(1), pages 66-79.
  3. Timotheos Angelidis & Alexandros Benos, . "The Components of the Bid-Ask Spread: The case of the Athens Stock Exchange," Working Papers 0615, University of Crete, Department of Economics.
  4. Timotheos Angelidis & Alexandros Benos, 2006. "Liquidity adjusted value-at-risk based on the components of the bid-ask spread," Applied Financial Economics, Taylor & Francis Journals, vol. 16(11), pages 835-851.
  5. Alexakis C. & Xanthakis E., 2003. "Market Trend, Company Size and Microstructure Characteristics of Intraday Stock Price Formations," European Research Studies Journal, European Research Studies Journal, vol. 0(1-2), pages 81-96, January -.

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