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The Long Term Dynamics of the European Stock Exchanges: «Leaders and Followers»

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  • Niarchos, N.
  • Alexakis, A.

Abstract

The purpose of this article is to investigate the possibility of a long term predictive relationship among the major European stock markets, contrary to the prediction of the Efficient Market Hypothesis. Analytically, we examined the possibility of predictive relationships between the stock markets of Amsterdam, Athens, Brussels, Frankfurt, London, Madrid, Milan, Paris and Zurich for the 1992-1996 period. The theory of cointegration and Error Correction Models (ECM), provide a method of testing the extent of possible links among the European equity markets. The statistical results indicated that the stock exchange of London «leads» and the Athens Stock Exchange «follows» some of the other European markets.

Suggested Citation

  • Niarchos, N. & Alexakis, A., 2000. "The Long Term Dynamics of the European Stock Exchanges: «Leaders and Followers»," European Research Studies Journal, European Research Studies Journal, vol. 0(1-2), pages 57-66, January -.
    • Handle: RePEc:ers:journl:v:iii:y:2000:i:1-2:p:57-66
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    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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