The efficient market hypothesis (EMH) is tested in the case of the Athens
Stock Exchange (ASE) after the introduction of the euro. The underlying
assumption is that stock prices would be more transparent; their performance
easier to compare; the exchange rate risk eliminated and as a result we expect
the new currency to strengthen argument in favour of the EMH. The General
ASE Composite Index and the FTSE/ASE 20, which consists of “high
capitalisation” companies, are used. Five statistical tests are employed to test
the residuals of the random walk model: the BDS, McLeod-Li, Engle LM, Tsay
and Bicovariance test. Bootstrap as well as asymptotic values of these tests are
estimated. Alternative models from the GARCH family (GARCH, EGARCH
and TGARCH) are also presented in order to investigate the behaviour of the
series. Lastly, linear, asymmetric and non-linear error correction models are
estimated and compared
