Box Jenkins Modeling of Greek Stock Prices Data

Chaido Dritsak
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Chaido Dritsak: Department of Accounting and Finance, Technological Education Institute of Western Macedonia, Kozani, Greece.

International Journal of Economics and Financial Issues, 2015, vol. 5, issue 3, 740-747

Abstract: Recent econometric procedures are employed in this paper to investigate the behavioral properties of Athens Stock Exchange (ASE) indices. The results of serial correlation showed that the hypothesis of weak-form efficiency of ASE should be rejected. The augmented Dickey Fuller tests and Phillips Perron tests confirm the existence of unit root on levels of stock prices. The random walk hypothesis matches with auto regressive integrated moving average (0,1,2) model where the future values of stock prices cannot be defined from past values. Afterwards, the results of Theil inequality coefficient indices showed that the forecasting ability of the model is not satisfactory

Keywords: Market Efficiency; Auto Regressive Integrated Moving Average Models; Stationary and Random Walk Tests; Stock Prices; Forecasting; Greece (search for similar items in EconPapers)
JEL-codes: C53 E27 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (1)

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