Efficient Market Hypothesis
The Efficient Market Hypothesis For The Athens Stock Exchange My name is Ioannis Markakis (HCD, MSc) and i have recently contacted a research for the ASE. It is based on the theory of the Efficient Market Hypothesis, and it examines its three existing forms: the Weak form efficiency, the Semi-Strong and the Strong form efficiency.
In the following paragraphs, i will give a brief summary of the results for each form tested.


The Weak form efficiency was tested using statistical models, as well as identified anomalies, which could justify a portfolio strategy, aiming supernormal returns. The exact test which was used in order to be able to judge that form of efficiency, was the Autocorrelation Test.
With the use of the AC Test, it was possible to be seen that in the ASE's operation exploitable ways of producing higher than average returns exist. It specifically indicated that during the period 1992 - 06/1998, the Ase's general index moved in specific directions concerning particular days (e.g. Fridays effect).
Although this is a fact, the AC Test showed an overall weak form efficiency improvement, as by analysing the years in question, the phenomenon was diminishing. That incident was present, primarly because of the improvement of the ASE's operation (i.e. legislation) as well as because of the general improvement of Greece's sociopolitical and economic environment.
The weak form efficiency of the ASE was also tested by
looking at justifiable anomalies existing in most of the financial markets around the globe. The major anomalies analyzed were the January effect anomaly, the Turn of the Month anomaly and the Seasonal effects. Those anomalies indicated inefficient operation in the weak form side of the EMH, and gave the evidence for creating a business strategy in order to beat the market returns.
The consistent presence of such anomalies during the years (from 1992-06/1998) makes them a useful tool in the hands of a literate investor.

Testing the Weak Form Efficiency for the ASE
Testing the Semi-Strong Form and the Strong Form Efficiency for the ASE. The Semi-Strong form efficiency was fundamentally tested. The analysis was based on the following vital elements:
1. Market Return V Returns produced by major investment firms in Greece.
2. Market Return V Return produced by different sectors in the market.
3. Fundamental Anomalies: a)Higher Dividend Yield Companies performance b)Small firms effect.
The analysis for that form of efficiency indicated that during the years 1992 to 1998, specific investment firms were able to consistently outperform the market. The incident further supports, what the theory disapproves, the insider dealing. Consistent outperformance of the market means better informational access to certain directions, in which case are the investment firms.
The analysis of the second important factor, indicated that in the Greek stock market, specific sectors are always more favorable than others, making their index to consistently outperform the market returns. This should not happen, though, as the investor would realize the difference and by moving to specific sectors would create opportunities to other. Effectivelly this would lead them in a later stage back to those underpriced (underestimated)sectors, resulting to an overall balanced market.
The fundamental anomalies tested showed no generic performance difference from the Higher Dividend Yield companiers and those with lower ones. In fact the lower dividend yield companies proved to be more favorable for the years 1992 - 1996, and only 1997 was an exception to the rule. The small firms showed no tremendous effects to their performance. There was not even a 20% exception to the rule, which would justify an investment opportunity in small firms for several well known reasons, speaking for the long-term positioning. In a short-scale trading, though, the experience have several times showed that small firms are the major players in the speculators portfolio management (for equally well known reasons).
Supportive evidence for the testing of the Strong-form efficiency were not given, as for that form to be tested, the 100% efficiency in the other 2 forms is presupposed. However in the authors analysis for that issue, an extended report is being given, for a better operational environment in the ASE and a better way of taking an investment decision. For the former factor, specific ideas are analyzed as for the informational system, the transparency, the legislation and the rationality of the investor.

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