Testing the Efficient Market Hypothesis in The Greek Secondary Capital Market

Aristeidis G. Samitas
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Aristeidis G. Samitas: Department of Business Administration, University of Aegean, Athens, Greece

Zagreb International Review of Economics and Business, 2004, vol. 7, issue 1, 23-38

Abstract: This study uses cointegration tests and event study methodology to provide evidence on the Efficient Market Hypothesis (EMH) in the secondary (parallel) capital market of Athens Stock Exchange (ASE). It examines the existence of interdependence between primary and secondary market in order to test the autonomy of secondary market price behaviour. It also measures the effects of the announcements for issuing new stocks by the listed companies. The empirical results indicate that there is evidence of a bi-directional causality and price co-movement between the primary and secondary capital market in Greece. These findings have significant implications for the rejection of the weak form efficiency. It also provides evidence, which suggests that the announcement of issuing new stocks gives support (total or partial) to specific classes of capital structure theories. The existence of non-zero abnormal returns around the announcement periods leads to the rejection of the semi-strong EMH for the secondary market of the ASE.

Keywords: secondary capital markets; cointegration; event study methodology; market efficiency (search for similar items in EconPapers)
JEL-codes: C12 G14 (search for similar items in EconPapers)
Date: 2004
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