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Stock market prices, 'causality' and efficiency: evidence from the Athens stock exchange

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  • Nikitas Niarchos
  • Christos Alexakis

Abstract

During the last few years there has been growing evidence against the Efficient Market Hypothesis. In this study we investigate the hypothesis using stock prices of common and preferred stocks from the Athens Stock Exchange. In Greece, preferred shares are regarded as part of the equity capital of the Greek companies and they are not considered as part of the borrowed funds. Under the Efficient Market Hypothesis their price behaviour, as far as the speed of adjustment to news is concerned, should be the same. However, our empirical evidence contradicts the above proposition. It seems that in the Greek market there are factors, other than news, which influence the price behaviour of the two categories of stocks.

Suggested Citation

  • 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.
  • Handle: RePEc:taf:apfiec:v:8:y:1998:i:2:p:167-174 DOI: 10.1080/096031098333140
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    Cited by:

    1. Silvio John Camilleri, 2005. "Can a Stock Index be Less Efficient than Underlying Shares? An Analysis Using Malta Stock Exchange Data," Finance 0507006, EconWPA.
    2. Alexakis, Christos & Niarchos, Nikitas & Patra, Theopfano & Poshakwale, Sunil, 2005. "The dynamics between stock returns and mutual fund flows: empirical evidence from the Greek market," International Review of Financial Analysis, Elsevier, vol. 14(5), pages 559-569.
    3. Athanassiou, Emmanuel & Kollias, Christos & Syriopoulos, Theodore, 2006. "Dynamic volatility and external security related shocks: The case of the Athens Stock Exchange," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(5), pages 411-424, December.
    4. Theodore Panagiotidis, 2010. "Market efficiency and the Euro: the case of the Athens stock exchange," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, pages 237-251.
    5. Drakos, Konstantinos & Kutan, Ali M., 2001. "Opposites attract: The case of Greek and Turkish financial markets," ZEI Working Papers B 06-2001, University of Bonn, ZEI - Center for European Integration Studies.
    6. Gizelis, Demetrios & Chowdhury, Shah, 2016. "Investor Sentiment and Stock Returns: Evidence from the Athens Stock Exchange," MPRA Paper 71243, University Library of Munich, Germany.
    7. Silvio John Camilleri & Christopher J. Green, 2005. "An Analysis of the Impacts of Non-Synchronous Trading On," Finance 0504020, EconWPA.
    8. 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 -.
    9. Eleni Thanou & Dikaios Tserkezos, 2008. "Nonlinear Diachronic Effects Between Stock Returns and Mutual Fund Flows: Additional Empirical Evidence from the Athens Stocks Exchange," Working Papers 0826, University of Crete, Department of Economics.
    10. Theophano Patra & Sunil Poshakwale, 2006. "Economic variables and stock market returns: evidence from the Athens stock exchange," Applied Financial Economics, Taylor & Francis Journals, pages 993-1005.

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