Title: Evaluating Athens Stock Exchange market efficiency: Is a mean-variance filter profitable?

Authors: Vasileios A. Vlachos, Dimitris K. Kalimeris

Addresses: Department of International and European Studies, University of Macedonia, Thessaloniki, 54006, Greece. ' Technological Educational Institute of Thessaloniki, Department of Accounting, School of Management and Economics, 57400, Greece

Abstract: The purpose of this paper is to investigate the weak form of market efficiency, based on the concept of mean-variance analysis. The investigation initiates with an appraisal of the prediction of future closing prices from past closing prices from a sample comprising the stock of 79 enterprises with large capitalisation listed in Athens Stock Exchange (ASE) for the period of 01/01/2002 to 31/12/2006. The assessment continues with the filter rule test, where the buy or sell signal for going short acts as a detector of short-term movements outside the boundaries of specific risk, in order to appraise the short position in relation to the long position under the criterion of maximum profit generation.

Keywords: efficient market hypothesis; filter rule; MPT; modern portfolio theory; technical trading; Athens Stock Exchange; Greece; market efficiency; stock markets; closing prices; short position; long position; maximum profit generation.

DOI: 10.1504/IJTGM.2010.034885

International Journal of Trade and Global Markets, 2010 Vol.3 No.3, pp.312 - 325

Published online: 26 Aug 2010 *

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