Market Efficiency and the Euro: The case of the Athens Stock Exchange

Theodore Panagiotidis

Finance from University Library of Munich, Germany

Abstract: The behaviour of an emerging market, the Athens Stock Exchange (ASE), after the introduction of the euro is investigated. The underlying assumption is that stock prices would be more transparent; their performance easier to compare; the exchange rate risk eliminated and as a result we expect the new currency to strengthen the argument, in favour of the EMH. The General ASE Composite Index and the FTSE/ASE 20, which consists of “high capitalisation” companies, are used. Five statistical tests are employed to test the residuals of the random walk model: the BDS, McLeod-Li, Engle LM, Tsay and Bicovariance test. Bootstrap and asymptotic values of these tests are estimated. Alternative models from the GARCH family (GARCH, EGARCH and TGARCH) are also presented in order to investigate the behaviour of the series. Lastly, linear, asymmetric and non-linear error correction models are estimated and compared.

Keywords: Non-Linearity; Market Efficiency; Random Walk; GARCH; non- linear error correction (search for similar items in EconPapers)
JEL-codes: C22 C52 G10 (search for similar items in EconPapers)
Pages: 21 pages
Date: 2005-07-29
New Economics Papers: this item is included in nep-cfn, nep-fin, nep-fmk, nep-his and nep-ifn
Note: Type of Document - pdf; pages: 21
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://econwpa.ub.uni-muenchen.de/econ-wp/fin/papers/0507/0507022.pdf (application/pdf)

Related works:
Journal Article: Market efficiency and the Euro: the case of the Athens stock exchange (2010)
Working Paper: Market Efficiency and the Euro: The case of the Athens Stock exchange (2008)
Working Paper: Market Efficiency and the Euro:The case of the Athens Stock Exchange (2003)
Working Paper: Market Efficiency and the Euro:The case of the Athens Stock Exchange (2003)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpfi:0507022

Access Statistics for this paper

More papers in Finance from University Library of Munich, Germany
Bibliographic data for series maintained by EconWPA ( this e-mail address is bad, please contact ).