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Box-Jenkins Modeling of Greek Stock Prices Data

Year 2015, Volume: 5 Issue: 3, 740 - 747, 01.09.2015

Chaido Dritsaki

Abstract

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.

Keywords

Market efficiency ARIMA models Stationary and Random Walk Tests Stock prices Forecasting Greece

Year 2015, Volume: 5 Issue: 3, 740 - 747, 01.09.2015

Chaido Dritsaki

Abstract

There are 0 citations in total.

Details

Other ID JA25TU39TU
Journal Section Research Article
Authors

Chaido Dritsaki This is me

Publication Date September 1, 2015
Published in Issue Year 2015 Volume: 5 Issue: 3

Cite

APA Dritsaki, C. (2015). Box-Jenkins Modeling of Greek Stock Prices Data. International Journal of Economics and Financial Issues, 5(3), 740-747.
AMA Dritsaki C. Box-Jenkins Modeling of Greek Stock Prices Data. IJEFI. September 2015;5(3):740-747.
Chicago Dritsaki, Chaido. “Box-Jenkins Modeling of Greek Stock Prices Data”. International Journal of Economics and Financial Issues 5, no. 3 (September 2015): 740-47.
EndNote Dritsaki C (September 1, 2015) Box-Jenkins Modeling of Greek Stock Prices Data. International Journal of Economics and Financial Issues 5 3 740–747.
IEEE C. Dritsaki, “Box-Jenkins Modeling of Greek Stock Prices Data”, IJEFI, vol. 5, no. 3, pp. 740–747, 2015.
ISNAD Dritsaki, Chaido. “Box-Jenkins Modeling of Greek Stock Prices Data”. International Journal of Economics and Financial Issues 5/3 (September 2015), 740-747.
JAMA Dritsaki C. Box-Jenkins Modeling of Greek Stock Prices Data. IJEFI. 2015;5:740–747.
MLA Dritsaki, Chaido. “Box-Jenkins Modeling of Greek Stock Prices Data”. International Journal of Economics and Financial Issues, vol. 5, no. 3, 2015, pp. 740-7.
Vancouver Dritsaki C. Box-Jenkins Modeling of Greek Stock Prices Data. IJEFI. 2015;5(3):740-7.