The behaviour of an emerging market, the Athens Stock Exchange (ASE), after the introduction of the euro is investigated. The latter would make its returns easier to compare; reduce uncertainty; eliminate the exchange rate risk and as a result we expect the new currency to strengthen the...

The most common definition of efficient stock markets states that in such markets prices fully reflect all available information. This obviously implies that in order for a market to be deemed (semi-strongly) efficient, it should not be possible to earn abnormal returns using trading strategies...

This paper exhibits tests of the random walk hypothesis and market efficiency for seven Asian emerging markets as a result of the influence of financial market integration. Random walk properties of equity prices influence the return dynamic and determine the trade strategies of investors. To...

In this study, the random walk hypothesis for emerging markets has been tested. First of all,Harvey et. al. (2008) linearity test was made in this study where different time intervals were handled. ADF (1979) unit root test was made to the linear series in order to test the efficiency of the...

One potential reason for bubbles evolving prior to the financial crisis was excessive risk taking stemming from option-like incentive schemes in financial institutions. By running laboratory asset markets, we investigate the impact of option-like incentives on price formation and trading...

This paper examines the effect of European Central Bank communication on the price discovery process in the Euribor futures market using a new tick-by-tick dataset. First, we show that two pieces of news systematically hit financial markets on Governing Council meeting days: the ECB policy rate...

We implement a diffusion model for an innovative product in a market with a structure of social relationships. Diffusion is described with a percolation approach in the price space. Percolation shows a phase transition from a diffusion to a no-diffusion regime. This has strong implications for...

The disposition effect describes investors’ common tendency of selling a winning investment too soon and holding on to losing investments too long. We analyze the disposition effect in a prediction market for economic indices. We show that the effect for individual traders as well as on an...

This paper proposes a novel method for assessing the predictability of energy market time series, by predicting the entropy of the series. According to conventional entropy-based analysis where the entropy is always ex-post estimated), high entropy values characterize unpredictable series, while...

The purpose of this paper is twofold: ?rst, to survey the statistical models of stock returns that have been suggested in the ?nance literature since the beginning of the twentieth century; second, to examine under the prism of the contemporary philosophy of science, which of the aforementioned...