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Economic variables and stock market returns: evidence from the Athens stock exchange

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  • Theophano Patra
  • Sunil Poshakwale
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    Abstract

    This research examines the short run dynamic adjustments and the long run equilibrium relationships between selected macroeconomic variables, trading volume and stock returns in the emerging Greek stock market during the period 1990 to 1999. Empirical results show that short run and long run equilibrium relationship exists between inflation, money supply and trading volume and the stock prices in the Athens stock exchange. No short run or long run equilibrium relationship is found between the exchange rates and stock prices. The results of this research are consistent with the theoretical arguments and practical developments that occurred in the Greek stock markets during the sample period. The results also imply that the ASE is informationally inefficient because publicly available information on macroeconomic variables and trading volumes can be potentially used in predicting stock prices.

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    File URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500426523
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    Bibliographic Info

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

    Volume (Year): 16 (2006)
    Issue (Month): 13 ()
    Pages: 993-1005

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    Handle: RePEc:taf:apfiec:v:16:y:2006:i:13:p:993-1005

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    Web page: http://www.tandfonline.com/RAFE20

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    References

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    12. Nikitas Niarchos & Christos Alexakis, 1998. "Stock market prices, 'causality' and efficiency: evidence from the Athens stock exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 8(2), pages 167-174.
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    15. Hatemi-J, Abdulnasser, 2002. "Money Supply and the Informational Efficiency of the Stock Market in Korea: Evidence from an Alternative Methodology," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 17, pages 517-526.
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    Cited by:
    1. Charles K.D. Adjasi, 2009. "Macroeconomic uncertainty and conditional stock-price volatility in frontier African markets: Evidence from Ghana," Journal of Risk Finance, Emerald Group Publishing, vol. 10(4), pages 333-349, August.
    2. Asmy, Mohamed & Rohilina, Wisam & Hassama, Aris & Fouad, Md., 2009. "Effects of Macroeconomic Variables on Stock Prices in Malaysia: An Approach of Error Correction Model," MPRA Paper 20970, University Library of Munich, Germany.
    3. Díaz, Antonio & Jareño, Francisco, 2009. "Explanatory factors of the inflation news impact on stock returns by sector: The Spanish case," Research in International Business and Finance, Elsevier, vol. 23(3), pages 349-368, September.

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