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    On The Efficiency Of The Capital Market In Greece: Price Discovery And Causality In The Athens Stock Exchange And The Athens Derivatives Exchange

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    Date
    2004
    Type
    Article
    Author
    Mertzanis, Charilaos
    Metadata
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    Abstract
    The chapter examines the interactions, using high frequency data, between the price series of the share price index of futures contracts traded on the Athens Derivatives Exchange and the underlying spot asset - the FTSE/ASE-20 Index - in the Athens Stock Exchange. This allows conclusions to be drawn on the impact of market structure on informed trading and on the nature of the cost-of-carry model. The usual result of futures leading spot is rejected, with clear bi-directionalcausality, and with many significant lags. This suggests that an electronic market may enhance price discovery. However, price discovery is quite slow. Also, this suggests that there is no preferred market for informed trading in the environment, and that tests for the presence of arbitrage opportunities and the correctness of the cost-of-carry model may be ineffective unless the lag structure is taken into account.
    URI
    https://dspace.adu.ac.ae/handle/1/4032
    DOI
    https://doi.org/10.1142/9789812562586_0002
    Citation
    Mertzanis, H. V. (2004). On The Efficiency Of The Capital Market In Greece: Price Discovery And Causality In The Athens Stock Exchange And The Athens Derivatives Exchange. In Supply Chain And Finance (pp. 15-28).
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    • Accounting & Finance

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