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AssessingthecontributionofsubindexestosystemicriskontheWarsawStockExchange...
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mayprovideusefulinformationforforecastingthefuturedevelopmentofstockprices
andeconomicgrowthofacountry.Somecontributionsclaimthattherejectionofweak
formmarketefficiencyisduetothehighcorrelationbetweenthemainsectorindex-
es(Arbelaezetal.2001).ThistypeofresearchwasinitiatedbyJustin1996(seeRat-
ner1996).InhisresearchheusedninemajorequityindexesfromtheMadridStock
Exchange.Hisaimwastoprovethemarketefficiencyofthisstockexchange.According
totheseresultsthedistributionwasnon-normal.Heshowedthatthedistributionof
indexreturnswasnotinlinewiththerandomwalkproperties.
Arbelaezetal.(2001)checkedtheshort-termandlong-terminterrelationsbe-
tweensomestockindexesoftheformerStockExchangeMedelin(nowColombiaStock
Exchange).Differentproceduresandtestsofstationarity,namelycausality,cointegra-
tion,impulseresponseaswellasvariancedecompositionwereappliedinthesethor-
oughinvestigations.Inaddition,theauthorsusedaVECmodelbasedonadatasetthat
includeddailypricesfromatimeperiodof7years.Theresearchsupportedtheexis-
tenceofsignificantinterrelationbetweenindexes.
InthefirstdecadeofthetwentyfirstcenturyseveralcontributionsontheAthens
StockExchange(ASE)werepublished.WSEandASEhavebeensimilarintermsofcap-
italizationforalongtime.InAugust2009WSEovertookASE.Thevalueofcompanies
listedontheWarsawStockExchangeamountedto88.3billioneuroandinAthensthe
valuewasslightlylower,i.e.87.2billioneuro.AccordingtoWorldBankdata,in2019
capitalizationofWSEachieved151.62billionUSD,whileASE(asresultoftheserious
economiccrisisinGreece)only53.65billionUSD.
OnthebasisofindexdatafromtheGreekstockmarketKavussanosandDock-
ery(2001)obtainedresultssimilartothoseoutlinedabove.Theauthorsappliedmulti-
variategeneralizationsandseeminglyunrelatedregressions.Theycametotheconclu-
sionthattheAthensStockExchangeisnotefficientinasemi-strongsense.
InthenextyearSiourounis(2002)appliedGARCHtypemodelsandprovedtheir
validityontheASEMarket.Hedemonstratedthatreturnswerecorrelatedandvolatility
showedautocorrelation.ThisauthoralsofoundthattheASEdidnotexhibittheweak
formoftheefficientmarkethypothesis.
NiarchosandAlexakis(2003)detectedspecificpricepatterns.Inaddition,they
statedthatusingthesepricepatternsabnormalreturnscanbeachieved.Intheiropin-
iontheyarebetterthanapassivebuyandholdstrategy.Thismeansthatthisstudyalso
detectedtheinefficiencyoftheASE.
Panagiotidis(2005)foundthattherandomwalkhypothesisdidnotholdtruefor
thethreedifferentFTSE/ASEindexesinthetimeperiodaftertheintroductionofeuro.
InamorerecentstudyPatraandPoshakwale(2008)wereconcernedwithsixsec-
torsoftheAthensStockExchange:Banking,Industrial,Construction,Insurance,Invest-
mentandHolding.Thesesectorsaccountformorethan63%oftheASEcapitalization.
Onthebasisoftheempiricalresultsofcalculationsfortheshorttermandlongterm,
theauthorsidentifiedthemainfeaturesoftherelationshipsbetweenthesemajorstock
subindexesoftheASE.Fromthisstudyitfollowsthatthesectorindexesdidnotdisplay
