Distributional properties and weekly return patterns of the Athens stock exchange

Abstract

The study examines the distributional properties of the Athens stock exchange and tests for persistence effects or anomalies found in the weekly redistributions of the market. The results indicate significant first- and second-order dependencies in the series as well as pronounced departures from normality. Further, employing the method of stochastic dominance, to determine which week's returns is dominant, it was found that the first week of the month offers a good risk–return relationship to investors. Finally, no evidence for presence of the January effect was found in the Athens stock exchange.