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Evaluating Athens Stock Exchange market efficiency: Is a mean-variance filter profitable?

Author

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  • Vasileios A. Vlachos
  • Dimitris K. Kalimeris

Abstract

The purpose of this paper is to investigate the weak form of market efficiency, based on the concept of mean-variance analysis. The investigation initiates with an appraisal of the prediction of future closing prices from past closing prices from a sample comprising the stock of 79 enterprises with large capitalisation listed in Athens Stock Exchange (ASE) for the period of 01/01/2002 to 31/12/2006. The assessment continues with the filter rule test, where the buy or sell signal for going short acts as a detector of short-term movements outside the boundaries of specific risk, in order to appraise the short position in relation to the long position under the criterion of maximum profit generation.

Suggested Citation

  • Vasileios A. Vlachos & Dimitris K. Kalimeris, 2010. "Evaluating Athens Stock Exchange market efficiency: Is a mean-variance filter profitable?," International Journal of Trade and Global Markets, Inderscience Enterprises Ltd, vol. 3(3), pages 312-325.
    • Handle: RePEc:ids:ijtrgm:v:3:y:2010:i:3:p:312-325
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