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Testing for Market Efficiency in Emerging Markets

Author

Listed:
  • George Filis

    (George Filis is a Ph.D. candidate at Bournemouth University, UK and a Lecturer at New York College, Athens. E-mail: g_filis@hotmail.com, gfilis21@otenet.gr)

Abstract

The purpose of this study is to test the efficiency level of the Athens Stock Exchange (ASE). It performs efficiency tests for the years 2000–2002. 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.

Suggested Citation

  • George Filis, 2006. "Testing for Market Efficiency in Emerging Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 5(2), pages 121-133, August.
    • Handle: RePEc:sae:emffin:v:5:y:2006:i:2:p:121-133
    DOI: 10.1177/097265270600500201
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    References listed on IDEAS

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    More about this item

    Keywords

    JEL Classification: C12; JEL Classification: G14; Asymmetric information; efficiency; implied volatility; random walk;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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