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The aim of this study focuses on the theory of Efficient Market Hypothesis and the related investment risks associated with it. It examines various types of theories, analyzes potential anomalies, and investigates the investment risks affecting these markets. The analysis was conducted through daily observations from April 2016 to April 2023 and of the closing price performance of Coca-Cola’s stock and the General Index of the Athens Stock Exchange (ASE). Initially, an augmented Dickey-Fuller (ADF) test was performed on the aforementioned variables, concluding that both variables are stationary at their levels. Then, using the single-factor Capital Asset Pricing Model (CAPM), the systematic risk of Coca-Cola’s stock performance was analyzed, concluding that it is a defensive stock showing a positive correlation with the market. Finally, ARIMA(6,0,1)-GARCH(1,2) model was used in the analysis and prediction of the data. From the data analysis, it was found that both the stock returns of the examined stock and the General Index do not follow a random walk process, and thus, the hypothesis of the ASE efficiency in its weak form needs to be rejected.

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Evaluation and Forecasting of Stock Performance on Athens Stock Exchange: An Empirical Approach

  • 会议论文

  • 发表日期：

    2025年

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  • Vasileios Pitsavas,
  • Chaido Dritsaki

摘要

The aim of this study focuses on the theory of Efficient Market Hypothesis and the related investment risks associated with it. It examines various types of theories, analyzes potential anomalies, and investigates the investment risks affecting these markets. The analysis was conducted through daily observations from April 2016 to April 2023 and of the closing price performance of Coca-Cola’s stock and the General Index of the Athens Stock Exchange (ASE). Initially, an augmented Dickey-Fuller (ADF) test was performed on the aforementioned variables, concluding that both variables are stationary at their levels. Then, using the single-factor Capital Asset Pricing Model (CAPM), the systematic risk of Coca-Cola’s stock performance was analyzed, concluding that it is a defensive stock showing a positive correlation with the market. Finally, ARIMA(6,0,1)-GARCH(1,2) model was used in the analysis and prediction of the data. From the data analysis, it was found that both the stock returns of the examined stock and the General Index do not follow a random walk process, and thus, the hypothesis of the ASE efficiency in its weak form needs to be rejected.