Dynamic co-movements of stock market returns, implied volatility and policy uncertainty

We examine time-varying correlations among stock market returns, implied volatility and policy uncertainty. Our findings suggest that correlations are indeed time-varying and sensitive to oil demand shocks and US recessions. Highlights: We examine dynamic correlations of stock market returns, implied volatility and policy uncertainty. Dynamic correlations reveal heterogeneous patterns during US recessions. Aggregate demand oil price shocks and US recessions affect dynamic correlations. A rise in the volatility of policy uncertainty dampens stock market returns and increases uncertainty. Increases in stock market volatility reduce stock market returns and increase uncertainty

Some philosophical enquiries on E-learning: preparing the tomorrow business school

Emerging digital technologies and increasing interest in the computerized delivery of higher education have led to e-learning through electronic mail, the Internet, the World Wide Web (WWW), and multimedia. The major objective of this research outlet is to examine the e-learning evolution in business schools. Our research intentions are to investigate: 1. if universities understand the market dynamics (regarding to segmentation and crossing the chasm); 2. mapping the s-curve to student needs and 3. how business schools will change the value map. From the analysis of existing empirical evidence and our research results from 140 business students of the University of Ioannina (Greece) and 50 business students of the University of Winchester (UK), we can summarize that: a. value is created when new technology is matched to student need; b. but student needs change: as the technology evolves existing students develop new needs and in addition the technology may appeal to new kinds of students, with new kinds of needs and c. understanding the structure of student needs may be particularly important at times of potential discontinuity, when existing students may reject new technologies (for excellent reasons!).  The authors suggest that business schools interested in being productive should invest in implementing performance tools for all educational methods in order to accomplish the educational objectives. Further research in this crucial field of the evolution of e-learning in business schools is the examination of anticipated benefits and the experiences by early e-learning adopters, return on investment and expectations for the future

Could a Chinese-Russian strategic alliance challenge the power of the West?

China and Russia have engaged in enhanced cooperation in a number of areas in recent years. Constantinos Filis assesses how Chinese-Russian relations have developed and whether a strategic alliance between the two countries could effectively balance the power of the West. He writes that given the West’s usefulness to both Moscow and Beijing, the striking of a long-term balance that is conducive to cooperation and increasing competition is likely to be the most probable course

An analysis between implied and realised volatility in the Greek Derivatives Market

In this article, we examine the relationship between implied and realised volatility in the Greek derivative market. We examine the differences between realised volatility and implied volatility of call and put options for at-the-money index options with a two-month expiration period. The findings provide evidence that implied volatility is not an efficient estimate of realised volatility. Implied volatility creates overpricing, for both call and put options, in the Greek market. This is an indication of inefficiency for the market. In addition, we find evidence that realised volatility ‘Granger causes’ implied volatility for call options, and implied volatility of call options ‘Granger causes’, the implied volatility of put option

The effects of oil price shocks on stock market volatility: Evidence from European data

The paper investigates the effects of oil price shocks on stock market volatility in Europe by focusing on three measures of volatility, i.e. the conditional, the realized and the implied volatility. The findings suggest that supply-side shocks and oil specific demand shocks do not affect volatility, whereas, oil price changes due to aggregate demand shocks lead to a reduction in stock market volatility. More specifically, the aggregate demand oil price shocks have a significant explanatory power on both current-and forward-looking volatilities. The results are qualitatively similar for the aggregate stock market volatility and the industrial sectors' volatilities. Finally, a robustness exercise using short-and long-run volatility models supports the findings

Between dilemmas, difficult decisions and a looming impasse

By Spyros Katsoulas, Research Associate at the Institute of International Relations of Panteion University, Athen

Investments and uncertainty revisited: The case of the US economy.

This paper examines the relationship between investments and uncertainty for the US economy, as the latter is approximated by consumer sentiment, purchasing managers’ prospects and economic policy uncertainty. Contrary to the existing literature, we provide evidence that this relationship is time-varying. The time variation is attributed to the observed temporal replacement effect between private and public investments. Furthermore, we show that there are two distinct correlation regimes in this relationship and unless we concentrate on them, we cannot fully unravel the real link between uncertainty and investments. Finally, we examine whether the use of the two correlation regimes provides better forecasts for investments compared to the use of the uncertainty indices alone. The forecasting exercise reveals that the use of correlation regimes provides statistically superior out of-sample forecasts

Business cycle synchronisation in EU: a time-varying approach

The paper investigates the time -varying correlation between the EU12 -wide business cycle and the initial EU12 member -countries based on scalar -BEKK and multivariate Riskmetrics model frameworks for the period 1980-2009. The paper provides evidence that changes in the business cycle synchronisation correspond to institutional changes that have taken place at a European level.Business cycle synchronisation has moved in a direction positive for the operation of a single currency suggesting that the common monetary policy is less costly in terms of lost flexibility at the national level. Thus,any questions regarding the optimality and sustainability of the common currency area in Europe should not be attributed to the lack of cyclical synchronisation

The tourism and economic growth enigma: Examining an ambiguous relationship through multiple prisms

This paper revisits the ambiguous relationship between tourism and economic growth, providing a comprehensive study of destinations across the globe which takes into account the key dynamics that influence tourism and economic performance. We focus on 113 countries over the period 1995-2014, clustered, for the first time, around six criteria that reflect their economic, political and tourism dimensions. A Panel Vector Autoregressive model is employed which, in contrast to previous studies, allows the data to reveal any tourism-economy interdependencies across these clusters, without imposing a priori the direction of causality. Overall, the economic-driven tourism growth hypothesis seems to prevail in countries which are developing, non-democratic, highly bureaucratic and have low tourism specialization. Conversely, bidirectional relationships are established for economies which are stronger, democratic and with higher levels of government effectiveness. Thus, depending on the economic, political and tourism status of a destination, different policy implications apply

Energy Consumption, CO2 Emissions, and Economic Growth: A Moral Dilemma

In this study we examine the dynamic interrelationship in the output-energy-environment nexus by applying panel vector autoregression (PVAR) and impulse response function analyses to data on energy consumption (and its subcomponents), carbon dioxide emissions and real GDP in 106 countries classified by different income groups over the period 1971-2011. Our results reveal that the effects of the various types of energy consumption on economic growth and emissions are heterogeneous on the various groups of countries. Moreover, causality between total economic growth and energy consumption is bidirectional, thus making a case for the feedback hypothesis. However, we cannot report any statistically significant evidence that renewable energy consumption, in particular, is conducive to economic growth, a fact that weakens the argument that renewable energy consumption is able to promote growth in a more efficient and environmentally sustainable way. Finally, in analysing the case for an inverted U-shaped EKC, we find that the continued process of growth aggravates the greenhouse gas emissions phenomenon. In this regard, we cannot provide any evidence that developed countries may actually grow-out of environmental pollution. In the light of these findings, the efficacy of recent government policies in various countries to promote renewable energy consumption as a means for sustainable growth is questioned. Put differently, there seems to be a moral dilemma, between high economic growth rates and unsustainable environment and low or zero economic growth and environmental sustainability