Please use this identifier to cite or link to this item: http://buratest.brunel.ac.uk/handle/2438/944
Title: Market efficiency and the Euro: the case of the Athens Stock Exchange
Authors: Panagiotidis, T
Keywords: Non-Linearity, Market Efficiency, Random Walk, GARCH, nonlinear;error correction
Issue Date: 2003
Publisher: Brunel University
Citation: Economics and Finance Working papers, Brunel University, 03-08
Abstract: The efficient market hypothesis (EMH) is tested in the case of the Athens Stock Exchange (ASE) after the introduction of the euro. The underlying assumption is that stock prices would be more transparent; their performance easier to compare; the exchange rate risk eliminated and as a result we expect the new currency to strengthen 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 as well as 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.
URI: http://bura.brunel.ac.uk/handle/2438/944
Appears in Collections:Dept of Economics and Finance Research Papers

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