Mean and variance causality between the Cyprus Stock Exchange and major equity markets

This paper examines the issue of mean and variance causality across four equities markets using daily data for the period 1996-2002. We apply the testing procedure developed by Cheung and Ng (1996) in order to test for mean and variance spillovers. The main findings are: (i) In contrast to the findings of previous studies, EGARCH-M processes characterize each stock returns series in all markets; (ii) There is substantial evidence of causality in both mean and variance with the causality in mean largely being driven by the causality in variance; and (iii) The results indicate the stock markets of Athens, London and New York are the major exporters of causality and the stock market of Cyprus is an importer of causality.Causality, cross-correlation function, EGARCH-M, equity market,

Food quality and product export performance. An empirical investigation of the EU situation

The relationship between product quality (as indicated by unit value) and export performance, both measured in absolute (per capita) and relative terms, is investigated. Five EU countries (DE, UK, FR, ES, IT), three product categories (cheese, meat preparations and wine), three export destinations (intra EU, extra EU and world) and two time periods (1995-1999 and 2000-201) are analysed. The estimation results show that the connection between quality and export performance is positive for Italy, Spain and France but depends on the product category (but not on the period), and differs (but not in all cases) according to the export destination. While the signs of the estimated slope coefficients are stable, the obtained statistical significance levels for these parameters depend on the measure used (relative or absolute) and on the estimation method (OLS or GLS). The main implication arising from this analysis is that it may be justified to introduce 'marketing of high-quality products' as a new academic discipline, teaching students and professionals in it and thus to contribute to the enhancement of EU agribusiness competitiveness in increasingly liberalised markets.Food quality, international trade, EU., Food Consumption/Nutrition/Food Safety, International Relations/Trade,

Modelling daily value-at-risk using realized volatility and arch type models

In this paper we show how to compute a daily VaR measure for two stock indexes (CAC40 and SP500) using the one-day-ahead forecast of the daily realized volatility. The daily re-alized volatility is equal to the sum of the squared intraday returns over a given day and thus uses intraday information to define an aggregated daily volatility measure. While the VaR specification based on an ARFIMAX(0,d,1)-skewed Student model for the daily realized volatility provides adequate one-day-ahead VaR forecasts, it does not really improve on the performance of a VaR model based on the skewed Student APARCH model and estimated using daily data. Thus, for the two financial assets considered in an univariate framework, both methods seem to be equivalent. This paper also shows that daily returns standardized by the square root of the one-day-ahead forecast of the daily realized volatility are not normally distributed.mathematical economics;

Common Stochastic Trends among the Cyprus Stock Exchange and the ASE, LSE and NYSE

Common stochastic trends among major international stock price indices has been a very intensively analyzed issue mainly as a result of the 1987 stock market crash and the need for policy coordination in financial markets. This paper investigates the existence of common stochastic trends among an emerging equity market, the Cyprus Stock Exchange and three mature equity markets namely ASE, LSE and NYSE. The main finding of our analysis is that there is evidence of one long-run relationship among the four equity markets and therefore three common stochastic trends. We use the Gonzalo and Granger (1995) methodology to identify, estimate and test for the number of common trends that leads to permanent changes among the four stock markets. Furthermore, we identify as driving forces of the system the ASE, LSE and NYSE equity markets while the emerging stock market of Cyprus does not enter significantly the common trends. Finally, we show that although cointegration exists there are small long-run benefits from international portfolio diversification since the stock prices adjust very slowly to these common trends.cointegration, common trends, identification, international stock markets,

Calibration of Computational Models with Categorical Parameters and Correlated Outputs via Bayesian Smoothing Spline ANOVA

It has become commonplace to use complex computer models to predict outcomes in regions where data does not exist. Typically these models need to be calibrated and validated using some experimental data, which often consists of multiple correlated outcomes. In addition, some of the model parameters may be categorical in nature, such as a pointer variable to alternate models (or submodels) for some of the physics of the system. Here we present a general approach for calibration in such situations where an emulator of the computationally demanding models and a discrepancy term from the model to reality are represented within a Bayesian Smoothing Spline (BSS) ANOVA framework. The BSS-ANOVA framework has several advantages over the traditional Gaussian Process, including ease of handling categorical inputs and correlated outputs, and improved computational efficiency. Finally this framework is then applied to the problem that motivated its design; a calibration of a computational fluid dynamics model of a bubbling fluidized which is used as an absorber in a CO2 capture system

The German entrepreneurial index (GEX®): a primer on an ownership-based style index in Germany

Recent research indicates that the majority of listed firms in Germany (and also in many other countries around the world) have a dominant owner rather than being widely-held. Hence, owner-dominated firms comprise an important subset of listed companies. This article introduces the concept of an ownership-based style index of listed firms in Germany, the German Entrepreneurial Index (GEX®). Introduced in 2005, the GEX® represents recently listed, ownerdominated firms in the German Prime Standard. We review the theoretical foundation and the index construction of the GEX®. In addition, we provide an overview of its development and performance between index inception and end of 2008 and relate this to properties of the German financial market. Finally, we conclude with a critical outlook for the index future against the background of recent developments. --insider ownership,style index,ownership structure,corporate governance