Stochastic behaviour of the Athens Stock Exchange: a case of institutional nonsynchronous trading
George Papachristou
Applied Financial Economics, 1999, vol. 9, issue 3, 239-250
Abstract:
In this paper it is shown that sequential trading in the Athens Stock Exchange prior to 1989 introduces deterministic nonsynchronicity and causes market returns to exhibit first-order serial correlation even though the underlying price generation process may be a martingale. The effect of deterministic nonsynchronicity is analogous to the effect of stochastic nonsynchronicity examined in Scholes and Williams (1977) with the important exception that it pertains only to portfolio returns and not to single security returns. A test of short run martingale behaviour performed on daily market returns prior to 1989 fails to distinguish between spurious time dependence and nonmartingale behaviour. However, additional evidence based on single security returns points to nonmartingale behaviour.
Date: 1999
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)
Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/096031099332311 (text/html)
Access to full text is restricted to subscribers.
Related works:
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:taf:apfiec:v:9:y:1999:i:3:p:239-250
Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20
DOI: 10.1080/096031099332311
Access Statistics for this article
Applied Financial Economics is currently edited by Anita Phillips
More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().