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

Nikitas Niarchos and Christos Alexakis

Applied Financial Economics, 1998, vol. 8, issue 2, 167-174

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.

Date: 1998
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DOI: 10.1080/096031098333140

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