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Recent banking reforms in Japan: an assessment
The efficient market hypothesis (EMH) is tested in the case of the Athens Stock Exchange (ASE) after the introduction of the euro for three different indices. The underlying assumption is that stock prices would be more transparent; their performance easier to compare; the exchange rate risk elimina...
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| Format: | Default Preprint |
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2004
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| Online Access: | https://hdl.handle.net/2134/322 |
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| _version_ | 1818174982662914048 |
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| author | Maximilian Hall |
| author_facet | Maximilian Hall |
| author_sort | Maximilian Hall (1247469) |
| collection | Figshare |
| description | The efficient market hypothesis (EMH) is tested in the case of the Athens Stock Exchange (ASE) after the introduction of the euro for three different indices. The underlying assumption is that stock prices would be more transparent; their performance easier to compare; the exchange rate risk eliminated and as a result we expect the new currency to strengthen the argument in favour of the EMH. The FTSE/ASE 20, which consists of “high capitalisation” companies, the FTSE/ASE Mid 40, which consists of medium sized companies and the FTSE/ASE SmallCap, which covers the next 80 companies, are used. Five statistical tests are employed to test the residuals of the random walk model: the BDS, McLeod-Li, Engle LM, Tsay and Bicovariance test. Bootstrap as well as asymptotic values of these tests are estimated. The random walk hypothesis is rejected in all three cases and alternative GARCH models are estimated. |
| format | Default Preprint |
| id | rr-article-9492761 |
| institution | Loughborough University |
| publishDate | 2004 |
| record_format | Figshare |
| spelling | rr-article-94927612004-06-01T00:00:00Z Recent banking reforms in Japan: an assessment Maximilian Hall (1247469) Other economics not elsewhere classified untagged Economics not elsewhere classified The efficient market hypothesis (EMH) is tested in the case of the Athens Stock Exchange (ASE) after the introduction of the euro for three different indices. The underlying assumption is that stock prices would be more transparent; their performance easier to compare; the exchange rate risk eliminated and as a result we expect the new currency to strengthen the argument in favour of the EMH. The FTSE/ASE 20, which consists of “high capitalisation” companies, the FTSE/ASE Mid 40, which consists of medium sized companies and the FTSE/ASE SmallCap, which covers the next 80 companies, are used. Five statistical tests are employed to test the residuals of the random walk model: the BDS, McLeod-Li, Engle LM, Tsay and Bicovariance test. Bootstrap as well as asymptotic values of these tests are estimated. The random walk hypothesis is rejected in all three cases and alternative GARCH models are estimated. 2004-06-01T00:00:00Z Text Preprint 2134/322 https://figshare.com/articles/preprint/Recent_banking_reforms_in_Japan_an_assessment/9492761 CC BY-NC-ND 4.0 |
| spellingShingle | Other economics not elsewhere classified untagged Economics not elsewhere classified Maximilian Hall Recent banking reforms in Japan: an assessment |
| title | Recent banking reforms in Japan: an assessment |
| title_full | Recent banking reforms in Japan: an assessment |
| title_fullStr | Recent banking reforms in Japan: an assessment |
| title_full_unstemmed | Recent banking reforms in Japan: an assessment |
| title_short | Recent banking reforms in Japan: an assessment |
| title_sort | recent banking reforms in japan: an assessment |
| topic | Other economics not elsewhere classified untagged Economics not elsewhere classified |
| url | https://hdl.handle.net/2134/322 |