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An Alternative Definition of Market Efficiency and some Comments on its Empirical Testing

  • Alexandros E. Milionis

    ()

    (Bank of Greece)

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    An alternative definition for market efficiency, based on econometric rather than financial arguments is suggested. It is argued that this new definition, though equivalent to the existing one, has some comparative advantages. Moreover, the conditions under which the results from the application of some commonly used methods for the empirical testing of market efficiency are meaningful are examined, and guidelines for practitioners are suggested. Further, market efficiency is examined in a time-varying risk framework.

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    File URL: http://www.bankofgreece.gr/BogEkdoseis/Paper200650.pdf
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    Paper provided by Bank of Greece in its series Working Papers with number 50.

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    Length: 19 pages
    Date of creation: Nov 2006
    Date of revision:
    Handle: RePEc:bog:wpaper:50
    Contact details of provider: Web page: http://www.bankofgreece.gr

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    1. Michael Bordo & Harold James, 2006. "One world money, then and now," International Economics and Economic Policy, Springer, vol. 3(3), pages 395-407, December.
    2. Sophocles N. Brissimis & Nicholas S. Magginas, 2006. "Monetary Policy Rules under Heterogeneous Inflation Expectations," Working Papers 35, Bank of Greece.
    3. Thanasis N. Christodoulopoulos & Ioulia Grigoratou, 2005. "Measuring Liquidity in the Greek Government Securities Market," Working Papers 23, Bank of Greece.
    4. Sven Arndt, 2006. "Regional Currency Arrangements in North America," Working Papers 121, Oesterreichische Nationalbank (Austrian Central Bank).
    5. Panayotis Kapopoulos & Sophia Lazaretou, 2007. "Corporate Ownership Structure and Firm Performance: evidence from Greek firms," Corporate Governance: An International Review, Wiley Blackwell, vol. 15(2), pages 144-158, 03.
    6. Panayiotis P. Athanasoglou & Matthaios D. Delis & Christos K. Staikouras, 2006. "Determinants of Bank Profitability in the South Eastern European Region," Working Papers 47, Bank of Greece.
    7. Sophocles N. Brissimis & Theodora S. Kosma, 2005. "Market Power, Innovative Activity and Exchange Rate Pass-Through," Working Papers 22, Bank of Greece.
    8. George Hondroyiannis & P.A.V.B. Swamy & George S. Tavlas & Michael Ulan, 2005. "Some Further Evidence on Exchange-Rate Volatility and Exports," Working Papers 28, Bank of Greece.
    9. Sophocles N. Brissimis & Nicholas S. Magginas, 2006. "Inflation Forecasts and the New Keynesian Phillips Curve," Working Papers 38, Bank of Greece.
    10. Panayotis Kapopoulos & Sophia Lazaretou, 2005. "Does Corporate Ownership Structure Matter for Economic Growth? A Cross-Country Analysis," Working Papers 21, Bank of Greece.
    11. Stephen G. Hall & George Hondroyiannis, 2006. "Measuring the Correlation of Shocks betweem the EU15 and the New Member Countries," Working Papers 31, Bank of Greece.
    12. Hans Genberg, 2006. "Exchange-Rate Arrangements an Financial Integration in East Asia: On a Collision Course?," Working Papers 122, Oesterreichische Nationalbank (Austrian Central Bank).
    13. John Williamson, 2006. "A Worldwide System of Reference Rates," Working Papers 45, Bank of Greece.
    14. Athanasoglou, Panayiotis & Brissimis, Sophocles & Delis, Matthaios, 2005. "Bank-specific, industry-specific and macroeconomic determinants of bank profitability," MPRA Paper 32026, University Library of Munich, Germany.
    15. Heather D. Gibson & Nicholas T. Tsaveas & Thomas Vlassopoulos, 2006. "Capital Flows, Capital Account Liberalisation and the Mediterranean Countries," Working Papers 33, Bank of Greece.
    16. George A. Christodoulakis & Emmanuel C. Mamatzakis, 2005. "The European Union GDP Forecast Rationality under Asymmetric Preferences," Working Papers 30, Bank of Greece.
    17. Andreas S. Andreou & George A. Zombanakis, 2006. "Computational Intelligence in Exchange-Rate Forecasting," Working Papers 49, Bank of Greece.
    18. Eleni Angelopoulou, 2005. "The Comparative Performance of Q-type and Dynamic Models of Firm Investment: Empirical Evidence from the UK," Working Papers 27, Bank of Greece.
    19. George S. Tavlas & P.A.V.B. Swamy, 2006. "The New Keynesian Phillips Curve and Inflation Expectations: Re-Specification and Interpretation," Working Papers 34, Bank of Greece.
    20. Brissimis, Sophocles N. & Delis, Manthos D. & Tsionas, Efthymios G., 2010. "Technical and allocative efficiency in European banking," European Journal of Operational Research, Elsevier, vol. 204(1), pages 153-163, July.
    21. Yiannis Stournaras, 2005. "Aggregate Supply and Demand, the Real Exchange Rate and Oil Price Denomination," Working Papers 26, Bank of Greece.
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