TY  - JOUR
TT  - Box-Jenkins Modeling of Greek Stock Prices Data
AU  - Dritsaki, Chaido
PY  - 2015
DA  - September
JF  - International Journal of Economics and Financial Issues
JO  - IJEFI
PB  - İlhan ÖZTÜRK
WT  - DergiPark
SN  - 2146-4138
SP  - 740
EP  - 747
VL  - 5
IS  - 3
KW  - Market efficiency
KW  - ARIMA models
KW  - Stationary and Random Walk Tests
KW  - Stock prices
KW  - Forecasting
KW  - Greece
N2  - 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.
UR  - https://dergipark.org.tr/en/pub/ijefi/issue//352180
L1  - https://dergipark.org.tr/en/download/article-file/363056
ER  -