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Financial market liberalization and stock market efficiency: the case of Greece
Laopodis, Nikiforos T. - In: Managerial Finance 29 (2003) 4, pp. 24-41
Greece, and its emerging stock market, the Athens Stock Exchange (ASE). The sequence of tests conducted, ranging from tests … of structural change to several efficiency tests, suggest that the Greek equity market was weak‐form efficient before …
Persistent link: https://www.econbiz.de/10014939664
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Intradaily behavior of listed and unlisted security basket indices in the emerging Greek stock market
Markellos, Raphael N.; Mills, Terence; Siriopoulos, Costas - In: Managerial Finance 29 (2003) 9, pp. 29-54
This paper employs three months of observations sampled at 60‐second intervals to analyze the behavior of two basket indices from the emerging Athens Stock Exchange: the General Index of the Main (Listed) Securities Market and the Index of the Secondary (Unlisted) Securities Market. The...
Persistent link: https://www.econbiz.de/10014939683
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Application of Dimson type models in emerging markets: the case of the Athens stock exchange
Karathanassis, G.; Patsos, C.; Glezakos, M. - In: Managerial Finance 25 (1999) 8, pp. 39-51
Outlines the special characteristics of the Athens stock exchange which may cause misspecification in the simple market model and make Dimson type models more appropriate. Refers to previous research on then and nonsynchronous trading, discusses the methodological issues involved and applies...
Persistent link: https://www.econbiz.de/10014940390
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Random‐walk and efficiency tests of Central European equity markets
Gilmore, Claire G.; McManus, Ginette M. - In: Managerial Finance 29 (2003) 4, pp. 42-61
The existence of weak‐form efficiency in the equity markets of the three main Central European transition economies … constitutes evidence for weakform efficiency. This differs in some cases from studies using data for the initial years of these …
Persistent link: https://www.econbiz.de/10014939665
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Deregulation and operating efficiency: the case of the Greek banks
Noulas, Athanasios G. - In: Managerial Finance 27 (2001) 8, pp. 35-47
Outlines the deregulation of banking in Greece and previous research on measuring banking efficiency. Uses 1993 … of operating income, as the private banks increased their efficiency. Finds the relative efficiency measured by data … envelopment analysis supports the greater efficiency of private banks although the difference is only significant at the 5 per …
Persistent link: https://www.econbiz.de/10014939569
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Closed‐end country fund discounts and systematic UK and US market movements: co‐integration and error corrected Granger causality tests
Bennett, Andrea; Gronewoller, Paul L.; Estate, Real - In: Managerial Finance 28 (2002) 1, pp. 73-92
Summarizes three explanations put forward in previous research for the deviation of closed‐end fund (CEF) share prices from their net asset values and tests the theories based on market sentiment (noise trading) and market segmentation (market frictions). Analyses 1991‐1997 data on 18 UK...
Persistent link: https://www.econbiz.de/10014939602
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Speed of share price adjustment to information
Chan, Dennis; Ariff, M. - In: Managerial Finance 28 (2002) 8, pp. 44-65
. Makes many comparisons between the three markets and suggests that this method of describing market efficiency could provide …
Persistent link: https://www.econbiz.de/10014939637
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A nonparametric investigation of seasonality in US stock market cycle durations
Cochran, Steven J.; Mansur, Iqbal - In: Managerial Finance 29 (2003) 1, pp. 3-32
This study examines the durations of US stock market cycle expansions and contractions for the presence of seasonality. Specifically, it is determined whether the distributional characteristics (i.e., location and dispersion) of the durations of market expansions and contractions are dependent...
Persistent link: https://www.econbiz.de/10014939659
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Return dynamics across the Asian equity markets
Anoruo, Emmanuel; Ramchander, Sanjay; Thiewes, Harold - In: Managerial Finance 29 (2003) 4, pp. 1-23
The degree of integration among different economies is an important issue in international economics and finance. This article employs daily stock market data for the period 1988 through 1999 to investigate the return dynamics and the extent of the stock market linkages across six newly...
Persistent link: https://www.econbiz.de/10014939663
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Asian financial crisis: the pre‐ and post‐crisis analysis of Asian equity markets
Chatterjee, Amitava; Felix Ayadi, O.; Maniam, Balasundram - In: Managerial Finance 29 (2003) 4, pp. 62-86
This study adds to the ongoing analysis of the long‐term impact of Asian financial crisis on the stock markets of eight Asian‐Pacific countries. Using current data to capture postcrisis behavior of returns, multivariate cointegration analysis reveals that a cointegrating relationship exists...
Persistent link: https://www.econbiz.de/10014939666