The influence of foreign markets on the Athens Stock Exchange

Abstract

This paper examines the influence of Standard and Poor 500 (SP-500) and Financial Times 100
(FT-100) stock price indices on the General Index (GEN) of the Athens Stock Exchange (ASE), which
belongs to the European Emerging Markets. The methodological approach is based mainly on multivariate
Box-Jenkins modelling. The results indicate that there is statistically significant causal effect of small
magnitude from SP-500 on GEN and a weak but also statistically significant correlation between FT-100
and GEN. The explanatory power of both the causal effect and the correlation on GEN is smaller as
compared with that of its own past history. The existence of substantial within — series correlation in GEN,
but primarily its particular pattern, entails the rejection of the hypothesis, of weak-form market efficiency
for ASE. However, ASE is informationally efficient in terms of the time required for the assimilation of
new information from foreign markets.