文章基本信息

标题：Box-Jenkins Modeling of Greek Stock Prices Data
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作者：Chaido Dritsaki
期刊名称：International Journal of Economics and Financial Issues
电子版ISSN：2146-4138
出版年度：2015
卷号：5
期号：3
页码：740-747
语种：English
出版社：EconJournals
摘要：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 JEL Classifications: C53; E27
其他摘要：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 JEL Classifications: C53; E27