Explaining the behaviour of stock prices in an emerging market: an empirical analysis of the Greek stock market

Abstract

Outlines research on the factors which reduce stock market efficiency and the particular characteristics of the Athens stock exchange (Greece). Uses 1988‐1994 Greek monthly returns data for share actively traded during the period to test for random walk behaviour in share prices. Explains the methodology, which is based on Lo and Mckinlay’s (1988) variance ratio test procedure and Robinson’s (1991) test for fractional integration; and presents the results which support the random walk hypothesis, i.e. suggest weak‐form efficiency. Notes inconsistency with some previous research on the Athens stock exchange and other emerging stock markets, but consistent with the idea that recent institutional changes have succeeded in increasing efficiency.

Citation

Dockery, E., Vergari, D. and Vergari, F. (2001), "Explaining the behaviour of stock prices in an emerging market: an empirical analysis of the Greek stock market", Managerial Finance, Vol. 27 No. 1/2, pp. 82-98. https://doi.org/10.1108/03074350110767510