Browsing by Author "Patra, T."
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Item Open Access Long-run and short-run relationship between the main stock indexes: evidence from the Athens stock exchange(Taylor & Francis, 2008-09-01T00:00:00Z) Patra, T.; Poshakwale, Sunil S.Evidence on long-run and short-run relationship among the major stock indexes in the highly concentrated Athens stock exchange (ASE) is provided utilizing daily data for the period 01/01/96 to 31/12/03. The findings suggest that even though the sector indexes do not show a consistent and strong long-term relationship, the banking sector seems to have a strong influence on returns and volatility of other sectors at least in the short-run. The variance decomposition analysis confirms that although the variance of returns for most sectors is largely influenced by their own innovations, banking sector is able to explain 25% of variance of construction and insurance sectors and around 15% of the variance of industrial, investment and the holding sectors. The leading role of the banking sector implies that changes in the banking sector index could be potentially used in predicting short term movements in other sector indexes confirming that the ASE is not weak form efficient.Item Open Access Predictability of stock returns using financial statement information: Evidence on semi-strong efficiency of emerging Greek stock market(Taylor & Francis, 2010-08-01T00:00:00Z) Alexakis, C.; Patra, T.; Poshakwale, Sunil S.This article examines the predictability of stock returns in the Athens Stock Exchange (ASE) during 1993 to 2006 by using accounting information. Using panel data analysis, this article concludes that the selected set of financial ratios contains significant information for predicting the cross-section of stock returns. Results indicate that portfolios selected on the basis of financial ratios produce higher than average returns, suggesting that the emerging Greek market does not fully incorporate accounting information into stock prices and hence it is not semi-strong efficient.