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Testing for Market Efficiency in Emerging Markets

Evidence from the Athens Stock Exchange

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

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.

Key Words: JEL Classification: C12 • JEL Classification: G14 • Asymmetric information • efficiency • implied volatility • random walk

Journal of Emerging Market Finance, Vol. 5, No. 2, 121-133 (2006)
DOI: 10.1177/097265270600500201


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