Box-Jenkins Modeling of Greek Stock Prices Data
Recent econometric procedures are employed in this paper to investigate the behavioral properties of Athens Stock Exchange (ASE) indices. The results of serial correlation showed that the hypothesis of weak - form efficiency of Athens Stock Exchange should be rejected. The Augmented Dickey- Fuller t...
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| Format: | Article |
| Language: | English |
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EconJournals
2015-09-01
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| Series: | International Journal of Economics and Financial Issues |
| Subjects: | |
| Online Access: | https://dergipark.org.tr/tr/pub/ijefi/issue/31970/352180?publisher=http-www-cag-edu-tr-ilhan-ozturk |
| _version_ | 1797917842241224704 |
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| author | Chaido Dritsaki |
| author_facet | Chaido Dritsaki |
| author_sort | Chaido Dritsaki |
| collection | DOAJ |
| description | Recent econometric procedures are employed in this paper to investigate the behavioral properties of Athens Stock Exchange (ASE) indices. The results of serial correlation showed that the hypothesis of weak - form efficiency of Athens Stock Exchange should be rejected. The Augmented Dickey- Fuller tests and Phillips-Perron tests confirm the existence of unit root on levels of stock prices. The random walk hypothesis matches with ARIMA (0,1,2) model where the future values of stock prices cannot be defined from past values. Afterwards, the results of Theil Inequality Coefficient indices showed that the forecasting ability of the model is not satisfactory. |
| first_indexed | 2024-04-10T13:20:58Z |
| format | Article |
| id | doaj.art-054d95bc52184cdc803b355b4fbcac15 |
| institution | Directory Open Access Journal |
| issn | 2146-4138 |
| language | English |
| last_indexed | 2024-04-10T13:20:58Z |
| publishDate | 2015-09-01 |
| publisher | EconJournals |
| record_format | Article |
| series | International Journal of Economics and Financial Issues |
| spelling | doaj.art-054d95bc52184cdc803b355b4fbcac152023-02-15T16:12:03ZengEconJournalsInternational Journal of Economics and Financial Issues2146-41382015-09-01537407471032Box-Jenkins Modeling of Greek Stock Prices DataChaido DritsakiRecent econometric procedures are employed in this paper to investigate the behavioral properties of Athens Stock Exchange (ASE) indices. The results of serial correlation showed that the hypothesis of weak - form efficiency of Athens Stock Exchange should be rejected. The Augmented Dickey- Fuller tests and Phillips-Perron tests confirm the existence of unit root on levels of stock prices. The random walk hypothesis matches with ARIMA (0,1,2) model where the future values of stock prices cannot be defined from past values. Afterwards, the results of Theil Inequality Coefficient indices showed that the forecasting ability of the model is not satisfactory.https://dergipark.org.tr/tr/pub/ijefi/issue/31970/352180?publisher=http-www-cag-edu-tr-ilhan-ozturkmarket efficiency arima models stationary and random walk tests stock prices forecasting greece |
| spellingShingle | Chaido Dritsaki Box-Jenkins Modeling of Greek Stock Prices Data International Journal of Economics and Financial Issues market efficiency arima models stationary and random walk tests stock prices forecasting greece |
| title | Box-Jenkins Modeling of Greek Stock Prices Data |
| title_full | Box-Jenkins Modeling of Greek Stock Prices Data |
| title_fullStr | Box-Jenkins Modeling of Greek Stock Prices Data |
| title_full_unstemmed | Box-Jenkins Modeling of Greek Stock Prices Data |
| title_short | Box-Jenkins Modeling of Greek Stock Prices Data |
| title_sort | box jenkins modeling of greek stock prices data |
| topic | market efficiency arima models stationary and random walk tests stock prices forecasting greece |
| url | https://dergipark.org.tr/tr/pub/ijefi/issue/31970/352180?publisher=http-www-cag-edu-tr-ilhan-ozturk |
| work_keys_str_mv | AT chaidodritsaki boxjenkinsmodelingofgreekstockpricesdata |