Abstract
The behaviour of an emerging market, the Athens Stock Exchange, after the introduction of the euro is investigated. The latter would make its returns easier to compare; reduce uncertainty; eliminate the exchange rate risk and as a result we expect the new currency to strengthen the 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 and 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. The preferred model (TGARCH) suggests that leverage effects are present and the news impact curve is asymmetric.
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Notes
In July 2000 Morgan Stanley announced the change in the classification of the MSCI Greece Index from an emerging to a developed market index with effect from the first of June 2001 (see http://www.msci.com/pressreleases/archive/pr000731.html).
For more information on the indices and their composition, see http://www.ase.gr and http://www.ftse.com. The data are available free from http://www.enet.gr/finance/finance.jsp.
The results of the AR are not reported here but are available from the author.
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Acknowledgments
The author would like to thank, but not in any way complicate, David Chappell, Chris Green, Steve Lawford, Terrence C. Mills and Costas Milas and the participants of the IEFS and Centre for Capital Markets joint Annual Conference held in London Metropolitan University for their useful comments.
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Panagiotidis, T. Market efficiency and the Euro: the case of the Athens stock exchange. Empirica 37, 237–251 (2010). https://doi.org/10.1007/s10663-008-9100-5
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DOI: https://doi.org/10.1007/s10663-008-9100-5