Financial market liberalization and stock market efficiency: Evidence from the Athens Stock Exchange

Laopodis, Nikiforos T.

doi:10.1016/j.gfj.2004.06.001

Cited by 45 publications

(21 citation statements)

References 39 publications

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“…The statistical results in Basu, Kawakatsu, and Morey (2000) weakly support the hypothesis that financial liberalization has made emerging markets more informationally efficient. In contrast, Groenewold and Ariff (1998), Kawakatsu and Morey (1999a,b) and Laopodis (2003Laopodis ( , 2004 reported that their sampled markets are weak-form efficient even before actual market opening date. On the other hand, Maghyereh and Omet (2002) concluded that market liberalization has no discernible effect on the degree of efficiency, as the Amman Stock Exchange remains inefficient after liberalization.…”

Section: A Review Of Related Literaturementioning

confidence: 93%

Financial crisis and stock market efficiency: Empirical evidence from Asian countries

Lim

Brooks

Kim

2008

International Review of Financial Analysis

208

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Section: A Review Of Related Literaturementioning

confidence: 93%

Financial crisis and stock market efficiency: Empirical evidence from Asian countries

Lim

Brooks

Kim

2008

International Review of Financial Analysis

208

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“…Using data over the period 1981-1990, Barkoulas et al (2000) reject weakform efficiency as does Siourounis (2002) using data from 1988. However, using data from 1985to 2001, Laopodis (2004 cannot reject weak-form efficiency. Only one study, Ghicas et al (2000), provides evidence (within the construction industry) suggesting that the Greek stock market is not semistrong-form efficient.…”

Section: The Institutional Settingmentioning

confidence: 99%

The relevance of quantifiable audit qualifications in the valuation of IPOs

et al. 2007

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How useful are audit qualifications to financial statement users? We analyze a sample of 204 firms that went public at the Athens Stock Exchange over the period 1987-2002. For 149 of these firms, auditors report quantitative estimates of the amount by which assets are overstated and/or liabilities are understated in reported financial statements. We find that underwriters and their affiliated analysts do not incorporate the negative information provided by these qualifications into offer prices and earnings forecasts. Investors, however, appear to efficiently impound the negative implications of the audit qualifications into stock market prices within the first day of trading. The results suggest that underwriters tend to align their interests with the interests of their clients, the old stockholders, at the expense of the new stockholders. They also suggest that the practice of reporting quantifiable qualifications in audit reports is valuable to investors given that they are disclosed by an expert.

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“…If the markets are cointegrated, then there are arbitrage opportunities, the markets are not efficient, and the law of one price is breached (Arshanapalli & Doukas, 1993). On the other hand, there are studies emphasizing the violation of weak form of efficiency with evidence of market integration, as the lagged price of one market can predict the current price of another (Diamandis, 2009;Laopodis, 2004;MacDonald & Power, 1994). More- over, with fully integrated markets, the benefits of diversification extinguish (Balli, Pericoli, & Pierucci, 2014).…”

Section: Literature Reviewmentioning

confidence: 99%

Stock Market Return and Volatility Spillovers: The Case of Selected Muslim Majority Countries

2017

J. Islam. bus. manag.

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KeywordsReturn Spillover Index Volatility Spillover Index Religion CultureReceived: 15 January 2017 Accepted: 06 June 2017Abstract. As integration is related to systemic risk and rewards in the stock markets, it is coupled with both weak and semi-strong forms of efficiency. Little evidence is found on return and volatility spillover within the Muslim country markets. This study investigates if the Muslim majority countries are interconnected with each other through returns and volatility spillovers among the stock markets for the span of about twenty years from July 1996 to February 2016. Vector Autoregressive (VAR) method as applied by Diebold and Yilmaz (2009) has been used to find the static and dynamic spillover indices of nine countries with religious similarity in 80% of the population and their three developed counterparts. We found overall significant spillovers; returns connectedness was 36.5% and volatility connectedness 22.4%. The study did not find any outright integration or evidence of spillover from developed markets to the Muslim majority group. However, US and Japan caused returns and volatility shocks respectively. In dynamic analysis, both returns and volatility spillover showed a gentle and stable increase in integration. Moreover, volatility spillover responded not only to the major global financial crises but also to the Arab Spring. These findings have major implications for diversified investment in the global financial market.

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Financial market liberalization and stock market efficiency: Evidence from the Athens Stock Exchange

Cited by 45 publications

References 39 publications

Financial crisis and stock market efficiency: Empirical evidence from Asian countries

Financial crisis and stock market efficiency: Empirical evidence from Asian countries

The relevance of quantifiable audit qualifications in the valuation of IPOs

Stock Market Return and Volatility Spillovers: The Case of Selected Muslim Majority Countries

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