Testing the Efficient Market Hypothesis Using Panel Data; With Application to the Athens Stock Exchange

Posted: 18 Feb 2014

See all articles by Everton Dockery

Everton Dockery

University of Portsmouth, Department of Accounting and Finance

Manolis G. Kavussanos

Athens University of Economics and Business - Department of Accounting and Finance

Date Written: February 1, 1996

Abstract

This paper performs unit root tests using panel data to investigate empirically stock price efficiency of the Athens stock market. Our Wald test statistics reject the random walk hypothesis for stock prices, which is a necessary condition for market efficiency.

Suggested Citation

Dockery, Everton and Kavussanos, Manolis G., Testing the Efficient Market Hypothesis Using Panel Data; With Application to the Athens Stock Exchange (February 1, 1996). Applied Economics Letters, Vol. 3, No. 2, 1996 pp.121-123. Available at SSRN: https://ssrn.com/abstract=1435249

Everton Dockery

University of Portsmouth, Department of Accounting and Finance ( email )

Portland Street
Portsmouth, Hampshire P01 3DE
United Kingdom

Manolis G. Kavussanos (Contact Author)

Athens University of Economics and Business - Department of Accounting and Finance ( email )

76 Patission St
TK 104 34 Athens
Greece
0030 210 8203167 (Phone)
0030 210 8228816 (Fax)

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