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Distributional properties and weekly return patterns of the Athens stock exchange

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  • Nikiforos Laopodis

Abstract

The study examines the distributional properties of the Athens stock exchange and tests for persistence effects or anomalies found in the weekly redistributions of the market. The results indicate significant first- and second-order dependencies in the series as well as pronounced departures from normality. Further, employing the method of stochastic dominance, to determine which week's returns is dominant, it was found that the first week of the month offers a good risk-return relationship to investors. Finally, no evidence for presence of the January effect was found in the Athens stock exchange.

Suggested Citation

  • Nikiforos Laopodis, 1997. "Distributional properties and weekly return patterns of the Athens stock exchange," Applied Economics Letters, Taylor & Francis Journals, vol. 4(12), pages 769-774.
    • Handle: RePEc:taf:apeclt:v:4:y:1997:i:12:p:769-774
    DOI: 10.1080/758528725
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    Cited by:

    1. Laopodis, Nikiforos T., 2004. "Financial market liberalization and stock market efficiency: Evidence from the Athens Stock Exchange," Global Finance Journal, Elsevier, vol. 15(2), pages 103-123, August.

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