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

Theodore Panagiotidis ()

Discussion Paper Series from Department of Economics, University of Macedonia

Abstract: The behaviour of an emerging market, the Athens Stock Exchange (ASE), after the introduction of the euro is investigated. The latter would make its returns easier to compare; reduce uncertainty; eliminate the exchange rate risk 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. The preferred model (TGARCH) suggests that leverage effects are present and the news impact curve is asymmetric.

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)
New Economics Papers: this item is included in nep-eec
Date: Written
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http://econlab.uom.gr/~econwp/pdf/wp0814.pdf

Related works:
Working Paper: Market Efficiency and the Euro: The case of the Athens Stock Exchange (2005)
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)
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Persistent link: http://EconPapers.repec.org/RePEc:mcd:mcddps:2008_14

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