search query: @author Stengos, T. / total: 7
reference: 6 / 7
| Author: | Stengos, T. Panas, E. |
| Title: | Testing the efficiency of the Athens Stock Exchange: some results from the banking sector |
| Journal: | Empirical Economics
1992 : VOL. 17:2, p. 239-252 |
| Index terms: | STOCK EXCHANGES EFFICIENCY MARKET EFFICIENCY COINTEGRATION |
| Language: | eng |
| Abstract: | The first study of its kind that addresses the issue of efficiency in the Athens Stock Exchange is presented in this paper. The authors apply a recently developed test by Brock, Dechert and Scheinkman (1987) to test the nonlinear structure in the rates of return of several stocks of banks that trade in the Athens Stock Exchange. The authors find no noticeable presence of nonlinearities in the standardized residuals for the series. No evidence of cointegration has been found, and hence no Granger casualty between the different stocks. The results confirm the "weak" and "semi-strong" versions of the efficient market hypotheses. |
SCIMA