Evaluating Athens Stock Exchange market efficiency: Is a mean-variance filter profitable?

Abstract

The purpose of this paper is to investigate the weak form of market efficiency, based on the concept of mean-variance analysis. The investigation initiates with an appraisal of the prediction of future closing prices from past closing prices from a sample comprising the stock of 79 enterprises with large capitalisation listed in Athens Stock Exchange (ASE) for the period of 01/01/2002 to 31/12/2006. The assessment continues with the filter rule test, where the buy or sell signal for going short acts as a detector of short-term movements outside the boundaries of specific risk, in order to appraise the short position in relation to the long position under the criterion of maximum profit generation.