Author: Elias MavrikosPublisher:
ISBN:
Category :
Languages : en
Pages : 168
Book Description
The Efficiency of the Athens Stock Exchange
Author: Elias MavrikosMarket Efficiency and the Euro
Author: Athens Stock Exchange
Author: Ioannis S. PapadopoulosA Theoretical and Empirical Analysis of Stock Market Efficiency
Author: Achillefs KarakotsiosPublisher:
ISBN:
Category : Efficient market theory
Languages : en
Pages :
Book Description
Is the Athens Stock Exchange Really Efficient in the Weak Sense?.
Author: Testing the Efficient Market Hypothesis Using Panel Data; With Application to the Athens Stock Exchange
Author: Everton DockeryPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
This paper performs unit root tests using panel data to investigate empirically stock price efficiency of the Athens stock market. Our Wald test statistics reject the random walk hypothesis for stock prices, which is a necessary condition for market efficiency.
Stock Prices and the Flow of Information in the Athens Stock Exchange
Author: Manolis G. KavussanosPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
The paper investigates the dynamics of price changes and information flow to the market in the Athens Stock Exchange in Greece using daily data over the period 1988 to 1993. A generalised autoregressive conditional heteroskedastic (GARCH) model in stock returns is shown to reflect time dependence in the process generating information flow to the market. Using daily trading volume or value as proxies for information flow, we find them to be significant in explaining the variance of daily returns and to reduce GARCH effects substantially. This has implications for the informational efficiency of the market.
Stock Market Efficiency
Author: Stergios PanagiotouStock Prices and the Flow of Information in the Athens Stock Exchange
Author: Gikas ManalisPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
The paper investigates the dynamics of price changes and information flow to the market in the Athens Stock Exchange in Greece using daily data over the period 1988 to 1993. A generalized autoregressive conditional heteroskedastic (GARCH) model in stock returns is shown to reflect time dependence in the process generating information flow to the market. Using daily trading volume or value as proxies for information flow, we find them to be significant in explaining the variance of daily returns and to reduce GARCH effects substantially. This has implications for the informational efficiency of the market.
Author: Christos Alexakis