The influence of foreign markets on the Athens Stock Exchange
Part of : Σπουδαί : journal of economics and business ; Vol.48, No.1-4, 1998, pages 140-156
Issue:
Pages:
140-156
Abstract:
This paper examines the influence of Standard and Poor 500 (SP-500) and Financial Times 100 (FT-100) stock price indices on the General Index (GEN) of the Athens Stock Exchange (ASE), which belongs to the European Emerging Markets. The methodological approach is based mainly on multivariate Box-Jenkins modelling. The results indicate that there is statistically significant causal effect of small magnitude from SP-500 on GEN and a weak but also statistically significant correlation between FT-100 and GEN. The explanatory power of both the causal effect and the correlation on GEN is smaller as compared with that of its own past history. The existence of substantial within — series correlation in GEN, but primarily its particular pattern, entails the rejection of the hypothesis, of weak-form market efficiency for ASE. However, ASE is informationally efficient in terms of the time required for the assimilation of new information from foreign markets.
Subject (LC):
Notes:
Περιέχει παράρτημα, πίνακες, υποσημειώσεις και βιβλιογραφία
