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Box Jenkins Modeling of Greek Stock Prices Data

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  • Chaido Dritsak

    (Department of Accounting and Finance, Technological Education Institute of Western Macedonia, Kozani, Greece.)

Abstract

Recent econometric procedures are employed in this paper to investigate the behavioral properties of Athens Stock Exchange (ASE) indices. The results of serial correlation showed that the hypothesis of weak-form efficiency of ASE should be rejected. The augmented Dickey Fuller tests and Phillips Perron tests confirm the existence of unit root on levels of stock prices. The random walk hypothesis matches with auto regressive integrated moving average (0,1,2) model where the future values of stock prices cannot be defined from past values. Afterwards, the results of Theil inequality coefficient indices showed that the forecasting ability of the model is not satisfactory

Suggested Citation

  • Chaido Dritsak, 2015. "Box Jenkins Modeling of Greek Stock Prices Data," International Journal of Economics and Financial Issues, Econjournals, vol. 5(3), pages 740-747.
    • Handle: RePEc:eco:journ1:2015-03-13
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    References listed on IDEAS

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    More about this item

    Keywords

    Market Efficiency; Auto Regressive Integrated Moving Average Models; Stationary and Random Walk Tests; Stock Prices; Forecasting; Greece;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications

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