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The efficient market hypothesis (EMH) is tested in the case of the Athens Exchange (ASE) after the introduction of the euro for three different. The underlying assumption is that stock prices would be more; their performance easier to compare; the exchange rate risk and as a result we expect the new currency to strengthen the in favour of the EMH. The FTSE/ASE 20, which consists of“high capitalisation” companies, the FTSE/ASE Mid 40, which consists of sized companies and the FTSE/ASE SmallCap, which covers the 80 companies, are used. Five statistical tests are employed to test the of the random walk model: the BDS, McLeod-Li, Engle LM, and Bicovariance test. Bootstrap as well as asymptotic values of tests are estimated. The random walk hypothesis is rejected in all cases and alternative GARCH models are estimated.
Theodore Panagiotidis (Wed,) studied this question.