Abstract:

This study compares two econometric methodologies, namely a near-VAR model (the currently established methodology) and a multiple input transfer function model, in a case-study where the informational efficiency on the Athens Stock Exchange (ASE) is examined. An ad-hoc model building methodology for the multiple input transfer function model is proposed. As is argued such an approach has some comparative advantages over VAR models. Results showed that although the hypothesis of informational efficiency can be accepted for ASE with some reservations using transfer functions, the results of the VAR model are suggestive of a rejection of this hypothesis.