Security price anomalies in an emerging market: the case of the Athens Stock Exchange

This paper investigates the existence of security price anomalies in the Athens Stock Exchange General Index, over an approximate ten year period - 14 October 1986 through 14 August 1996. Three major industry indices are considered: Banking, Insurance and Leasing. Results are somewhat mixed, some evidence for a weekend effect is offered, and it is suggested that the January effect is present for the indices, and becomes stronger through time. Evidence that the holiday effect is, by far, the most significant anomaly in the Athens Stock Exchange is also provided. It appears that following major institutional changes in 1992, the patterns in securities returns began to mirror those of advanced financial markets. To conclude, however, the seasonalities documented would not be able to render potential investors profitable trading strategies net of transaction costs. This is of course entirely consistent with the notion of market efficiency, in that no strategy exists which will consistently yield abnormal returns.