144-152

• Παύλου, Νικόλαος
• Γκολέμης, Παύλος

Futures market present high trading volume during the last decade. Greek futures market presents upward trading volume, especially on FTSE/ASE-20, FTSE/ASE-40 indexes and on three stocks, Hellenic Telecommunications Organization, Public Power Corporation, Intracom. This paper examines the difference in volatility during trading and non-trading periods, using several econometric methods, Serial correlations, ADF test and Durbin- Watson test. Test results from these methods provide evidence that futures on FTSE/ASE-20 and Public Power Corporation are stationary series while the other three series depend on the season meaning that the Efficient Market Hypothesis is rejected.

• Economics and Business
• Computer and information sciences

• Finance
• Statistics

futures market, ADF test, Durbin- Watson, market efficiency, Greece

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