Financial Crisis, Ownership Effect and Investors Sentiment: Empirical Evidence from the Banking Sector in Greece.

摘要: 1. Introduction According to the Efficient Market Hypothesis (EMH), Fama (1970), (1976), asset prices reflect fully and instantaneously all relevant available information in a rational, i.e. accordance with economic theory, manner factors not linked like investors sentiment, should affect prices. In an efficient market, past is of no use predicting profitably future returns, since it has been already reflected on by number competing, profit maximizing investors. An market react only new information, but this unpredictable definition, price changes or returns cannot be predicted. Thus, empirical research for efficiency investigates if there which can help predict profitably, also non investors' psychology influence study we will examine stock trading volume behaviour banking sector Greece, before during recent financial crisis started 2008. Analytically, possibility "causal" relationships between volume. The existence such dynamics may give support view that were heavily influenced psychological negative news. We chose because representative Greek preferable investing majority institutional investors, both domestic foreigner; international literature growing evidence herd due reasons opposite prediction Hypothesis, Choe, Kho Stulz (1999), Kim Wei (2002), Bowe Domuta (2004), Pucket Yan (2007), Tan, Chiang, Mason Nelling (2008). our study, section two (2), presents three (3), data sets methodology, four (4) results finally, five (5) concludes. 2. Theoretical Framework Related Literature Under Fair Game [2] model holds consequently returns: E[[P.sub.t] - ([P.sup.*.sub.t]/[I.sub.t-1])] = 0 E([r.sub.t]/[I.sub.t-1]) (1) where [I.sub.t-1] set at time t-1, [P.sub.t] actual t, [P.sup.*.sub.t] expected based [I.sub.t-1], forecast error uncorrelated variables [I.sub.t-1]. Similarly, [r.sub.t] return Le Roy (1989, 1990). Samuelson (1965), under assumption zero equilibrium assuming agents have constant common preferences, probabilities are risk neutral, then assets held willingly, as must case equilibrium, therefore earn same rate return, equal return. rejected hypothesis themselves proposed following definition efficiency, makes EMH joint hypothesis: [Z.sub.t] (2) with: E([z.sub.t]) E[[r.sub.t] E([r.sub.t]/[I.sub.t-1])] (3) terms [z.sub.t] excess projected basis With additional through [3], sets. …