Testing for Market Efficiency in Emerging Markets

The purpose of this study is to test the efficiency level of the Athens Stock Exchange (ASE). It performs efficiency tests for the years 2000â€“2002. The results of these tests enable us to argue that over the two years of the study, ASE was not an efficient market as it suffered from volatility clustering. However, the FTSE/ASE 20 index showed evidence of weak form efficiency as it followed a random walk pattern.

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Year of publication:	2006
Authors:	Filis, George
Published in:	Journal of Emerging Market Finance. - Institute for Financial Management and Research. - Vol. 5.2006, 2, p. 121-133
Publisher:	Institute for Financial Management and Research
Subject:	Asymmetric information \| efficiency \| implied volatility \| random walk

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Extent:	text/html
Type of publication:	Article
Classification:	C12 - Hypothesis Testing ; G14 - Information and Market Efficiency; Event Studies
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011137891