Evaluating Athens Stock Exchange market efficiency: Is a mean-variance filter profitable? Online publication date: Thu, 26-Aug-2010
by Vasileios A. Vlachos, Dimitris K. Kalimeris
International Journal of Trade and Global Markets (IJTGM), Vol. 3, No. 3, 2010
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.
Online publication date: Thu, 26-Aug-2010
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