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Exchange Rate Intervention, Market Efficiency and Asset Market Returns: The Greek Experience


  • Dionysios Chionis

    (Democritus University of Thrace, Department of International Economic Relations and Development, Komotini, Greece)

  • Panagiotis Liargovas

    (University of Peloponnese, Department of Economics, Terma Karaiskaki Street, Tripolis 22 100, Greece and Hellenic Open University)


Ôhis paper investigates the implications of exchange rate intervention on the forward market and on the asset returns in Greece during the ‘hard’ greek drachma period 1987-98, when the Central Bank of Greece frequently intervened. We examine the efficiency of the forward exchange market because Since the it influences the intervention effects on both the mean and the variance of the exchange rate.depends on the efficiency of the market we examine the efficiency of the forward exchange market In addition, by applying the causality in variance test between exchange rates and stock returns, this workwe examines the credibility of the signals provided by the Central Bank of Greece by applying the causality in variance test between exchange rates and stock returns.

Suggested Citation

  • Dionysios Chionis & Panagiotis Liargovas, 2004. "Exchange Rate Intervention, Market Efficiency and Asset Market Returns: The Greek Experience," Ekonomia, Cyprus Economic Society and University of Cyprus, vol. 7(1), pages 42-55, Summer.
  • Handle: RePEc:ekn:ekonom:v:7:y:2004:i:1:p:42-55

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    JEL classification:

    • F3 - International Economics - - International Finance
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates


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