Box-Jenkins Modeling of Greek Stock Prices Data

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ID: 70045
2015
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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.
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dritsaki2015boxjenkinsinternational Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Dritsaki, Chaido ;
Journal international journal of economics and financial issues
Year 2015
DOI
DOI not found
URL
https://dergipark.org.tr/tr/pub/ijefi/issue/31970/352180?publisher=http-www-cag-edu-tr-ilhan-ozturk
Keywords
Information technology business economics as a science finance computer engineering. computer hardware bibliography. library science. information resources accounting. bookkeeping

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