During the last few years there has been growing evidence against the Efficient Market Hypothesis. In this study we investigate the hypothesis using stock prices of common and preferred stocks from the Athens Stock Exchange. In Greece, preferred shares are regarded as part of the equity capital of the Greek companies and they are not considered as part of the borrowed funds. Under the Efficient Market Hypothesis their price behaviour, as far as the speed of adjustment to news is concerned, should be the same. However, our empirical evidence contradicts the above proposition. It seems that in the Greek market there are factors, other than news, which influence the price behaviour of the two categories of stocks.
This article investigates the international information transmission between the U.S. and Greek stock markets using daily data from the Athens Stock Exchange (ASE) and the S&P 500 Index returns. It employs a bivariate exponential GARCH-t (EGARCH-t) that allows for both mean and variance spillovers between the two markets. It also performs cointegration tests on the long-run relation between these two markets and explores the possible common volatility feature in the spirit of Engle and Kozicki (1993). The results show no spillovers between these two markets for the conditional mean and variance. Also, the cointegration test shows that these two markets are not driven by a common trend. It appears that the U.S. and Greek stock markets are not related to each other, either in the short-run or in the long-run. Contrary to previous studies of the world's large financial markets, the evidence here shows that the U.S. market does not have a strong influence on the Greek stock market (JEL G1 G15).
A few years ago, the stock market of Greece was a relatively small and under-investigated emerging market. Nevertheless, modernization and some other major reforms that have taken place the last 10 years resulted in the market obtaining more depth and width. In the last decade an increasing number of new companies were listed in the Athens Stock Exchange (ASE) in order to raise capital, and an increasing number of investors entered the market by investing in corporate stocks. These developments boosted the domestic and international investment interest for the Athens Stock Exchange (ASE), which is now expected to gain the characterization of a more developed market. This article is to investigate whether there are certain stock price patterns during the trading sessions; and if such patterns exist it implies a profitable trading rule. The possibility of profitable intraday stock price patterns will form an evidence against the Efficient Market Hypothesis (EMH), according to which, stock price changes or stock returns are expected to be random and thus unpredictable. The results indicate specific price patterns and a trading rule based on the results of this article proved to be not only more profitable compared to the passive 'buy and hold strategy' but also more safe.
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