This presentation is part of: G15-1 (2025) Recent Developments in the Athens Stock Exchange

Evaluating ASE Market Efficiency: Is a Mean-Variance Filter Profitable?

Vasileios A. Vlachos, PhD and Dimitrios Kalimeris, Ph.D. International and European Studies, University of Macedonia, 156 Egnatia Str, Thessaloniki, 54006, Greece

The purpose of this paper is to investigate the weak-form of market efficiency, based on the concept of mean-variance analysis. The sequence of the assessment includes an investigation of profit generation from a filter rule and on the predictability of future share prices from past trends. The filter, which represents a buy or sell signal for going short, is comprised by an exponentially weighted return and associated risk, in order to overcome the bias of sample selection and avoid the trial and error method for formulating filters that has been employed in previous studies. Both, the application of the filter and the prediction of future closing prices from past trends are tested from a sample comprising stock of 79 enterprises with large capitalization listed in Athens Stock Exchange for the period of 01/01/2002 to 31/12/2006.