Testing the efficient market hypothesis in Greek stock exchange
Part of : Αρχείον οικονομικής ιστορίας ; Vol.XIX, No.1, 2007, pages 169-181
Issue:
Pages:
169-181
Author:
Abstract:
In this article we investigate if the efficient market hypothesis is valid for the general index of the Greek Stock Exchange. Two competing continuous-time models are adopted, one represents the efficient market hypothesis and the second the alternative. The ratio of posterior marginal beliefs is used in order to choose one of the two models and therefore to decide if the efficient market hypothesis is true. We present the way to calculate the likelihood and the marginal beliefs of these two continuous-time models.
Subject:
Subject (LC):
Keywords:
Efficient market hypothesis, continuous time–series, ratio of marginal, exchange market
Notes:
JEL classification: G23, L89
