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The efficient market hypothesis (EMH) is tested in the case of the Athens
Stock Exchange (ASE) after the introduction of the euro for three different
indices. 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 the
argument in favour of the EMH. The FTSE/ASE 20, which consists of
“high capitalisation” companies, the FTSE/ASE Mid 40, which consists of
medium sized companies and the FTSE/ASE SmallCap, which covers the
next 80 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. The random walk hypothesis is rejected in all
three cases and alternative GARCH models are estimated.