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Stochastic behaviour of the Athens Stock Exchange: a case of institutional nonsynchronous trading

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  • George Papachristou

Abstract

In this paper it is shown that sequential trading in the Athens Stock Exchange prior to 1989 introduces deterministic nonsynchronicity and causes market returns to exhibit first-order serial correlation even though the underlying price generation process may be a martingale. The effect of deterministic nonsynchronicity is analogous to the effect of stochastic nonsynchronicity examined in Scholes and Williams (1977) with the important exception that it pertains only to portfolio returns and not to single security returns. A test of short run martingale behaviour performed on daily market returns prior to 1989 fails to distinguish between spurious time dependence and nonmartingale behaviour. However, additional evidence based on single security returns points to nonmartingale behaviour.

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File URL: http://www.tandfonline.com/doi/abs/10.1080/096031099332311
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Bibliographic Info

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

Volume (Year): 9 (1999)
Issue (Month): 3 ()
Pages: 239-250

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Handle: RePEc:taf:apfiec:v:9:y:1999:i:3:p:239-250

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Cited by:
  1. 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.
  2. Silvio John Camilleri & Christopher J. Green, 2005. "An Analysis of the Impacts of Non-Synchronous Trading On," Finance 0504020, EconWPA.

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