A Multivariate Test for Stock Market Efficiency: The Case of ASE

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: 2001

Abstract

Market efficiency tests in developing markets display mixed evidence, in contrast to evidence on developed markets where the null hypothesis seems to be supported. Specifically, previous tests for market efficiency on the index and on samples of stocks traded in the Athens Stock Exchange (ASE) are broadly not supportive of the efficient market hypothesis. This paper introduces multivariate generalizations of the upivariate Dickey-Fuller likelihood ratio tests to the class of Seemingly Unrelated; Regressions,: to investigate empirically the stock price efficiency of ASE. The method takes into account the contemporaneous correlation between stocks in the ASE, and avoids the sample biases which may result by considering only subsets of stocks hsted in the exchange. Conclusively, the results confirm that the ASE is informationally inefficient, implying that past stock prices contain some information as to future price movements which investors may act on.

Suggested Citation

Dockery, Everton and Kavussanos, Manolis G., A Multivariate Test for Stock Market Efficiency: The Case of ASE (2001). Applied Financial Economics, Vol. 11, No. 5, 2001 pp. 573-579. Available at SSRN: https://ssrn.com/abstract=1435281

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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