Testing for Market Efficiency in Emerging Markets: Evidence from the Athens Stock Exchange

This source preferred by George Filis

Authors: Filis, G.

Journal: Journal of Emerging Market Finance

Volume: 5

Issue: 2

Pages: 121-133

DOI: 10.1177/097265270600500201

This data was imported from Scopus:

Authors: Filis, G.

Journal: Journal of Emerging Market Finance

Volume: 5

Issue: 2

Pages: 121-133

ISSN: 0972-6527

DOI: 10.1177/097265270600500201

The purpose of this study is to test the efficiency level of the Athens Stock Exchange (ASE). It performs efficiency tests for the years 2000–2002. The results of these tests enable us to argue that over the two years of the study, ASE was not an efficient market as it suffered from volatility clustering. However, the FTSE/ASE 20 index showed evidence of weak form efficiency as it followed a random walk pattern. © 2006, Sage Publications India Pvt. Ltd. All rights reserved.

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