Abstract
In this study we test the efficient market hypothesis in the Athens Stock Exchange for a number of selected stocks from the banking sector. We distinguish between a “weak” and “semistrong” version of the hypothesis depending on the agents' information sets. For the “weak” version we apply a recently developed test by Brock, Dechert and Scheinkman (1987) to test for the presence of nonlinear structure in the residuals of rates of return regressions of these stocks. To test the “semistrong” form of the efficiency hypothesis we carry out tests of cointegration following the methodology of Granger and Engle (1987). We find no noticeable presence of nonlinearties in the standardized residuals for these series. Also we find no evidence of cointegration and hence no Granger causality between the different stocks. Our findings support the “weak” and “semi-strong” versions of the efficient market hypothesis.
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The authors would like to acknowledge the comments of two anonymous referees and an editor of the journal that enhanced the scope of an earlier version of the paper entitled “Testing the Efficiency of the Athens Stock Exchange: Some Cointegration Results from Selected Stocks”.
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Stengos, T., Panas, E. Testing the efficiency of the Athens Stock Exchange: Some results from the banking sector. Empirical Economics 17, 239–252 (1992). https://doi.org/10.1007/BF01206285
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DOI: https://doi.org/10.1007/BF01206285