Testing the efficient market hypothesis using panel data, with application to the Athens stock market

Everton Dockery · Manolis G. Kavussanos

40 citations0/0 files storedApplied Economics Letters

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Stock Market Forecasting Methods

Abstract

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.

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References

1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root 1970Efficient Capital Markets: A Review of Theory and Empirical Work 1991Efficient Capital Markets: II 2004Management International Review 1991Efficient Capital Markets: II 1993Stochastic behaviour of the Athens stock exchange 1990The behaviour of Athens stock prices

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2010Forecasting financial volatility of the Athens stock exchange daily returns: an application of the asymmetric normal mixture GARCH model 2008Martingales in European emerging stock markets: Size, liquidity and market quality 2005Dynamic volatility and external security related shocks: The case of the Athens Stock Exchange 2006The Evolving and Relative Efficiencies of Stock Markets: Empirical Evidence from Rolling Bicorrelation Test Statistics

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