Informational efficiency and spurious spillover effects between spot and derivatives markets

Derivatives markets produce the means for price discovery as leading indicators in the transmission of new information. Examining volatility spillovers between spot and derivatives markets without accounting for possible disequilibria in the long term relationship could potentially result in spurious spillover effects. Our paper aims to contribute in this literature by controlling for possible disturbances in the long-run equilibrium relationship between the two markets. By application of a regime shift approach we provide evidence of a time varying spillover effect from derivatives to spot markets. However, this effect is inconclusive in the absence of a significant (1 − 1) cointegration relationship

Corporate Governance and Firm Performance: Results from Greek Firms

In this paper, we construct a Governance Index for a sample of Greek companies quoted on the Athens Stock Exchange. We then classify firms, using each firm governance index, into three governance portfolios. Furthermore, the Fama and French model, extended to include a momentum variable, is tested for each of the three governance portfolios. Our findings suggest that most of the firms in our sample are semi-democracies followed by democracies and dictatorships respectively. Good governance appears to be of value in as much as we found higher Tobin’s q ratios for democracies followed by semi-democracies and dictatorships. We, also, report significant negative abnormal returns for shareholder-friendly and manager-friendly firms. The findings of significant negative abnormal returns are consistent with inefficient capital markets. At a practitioner level, the results imply that firms should practice vigorously good governance, as it is a policy of value to shareholders and possibly to other stakeholders.Corporate Governance, Firm Performance, Democratic and Dictatorship Firms

Spill Over Effects of Futures Contracts Initiation on the Cash Market: A Comparative Analysis

This paper investigates possible spill over effects on the Spot Market due to the initiation of Futures contracts in three different financial markets. According to many analysts there still exists a puzzle regarding the stabilization or destabilization effects of futures contracts. Although the speculative forces (uninformed investors) tend to destabilize the market, rational hedging strategies and the transition of risk allow for stabilization shift. In order to investigate this issue, many researchers during the last decade, have utilized the GARCH framework enriched to capture many stylized financial features, such as the asymmetric response to news and leptokurtosis. However, in this paper the GARCH framework is extended to allow for skewness in the distribution of returns and to examine the timing of possible structural changes, while the conditional mean of the process is adjusted to account for time-varying risk premia and for the day of the week effects decomposition. Furthermore, the distinguishing feature of this paper is the SWARCH econometric model, which enables a dynamic regime shifting through a Markov Chain transition matrix. According to the empirical findings for the UK, Spanish and Greek Capital markets, there exist a significant stabilization effect either in the long run or in the short run, which is negatively associated with the level of efficiency and completeness of these capital markets.Index Futures Contracts, AP-GARCH-M, SWARCH-L

An empirical examination of traditional equity valuation models : the case of the Athens stock exchange

Early theoretical work on equity valuation suggests that equity prices are determined by variables such as dividends and growth in dividends. This paper employs panel data methodology and equity prices from Athens Stock Exchange to empirically investigate the performance of the traditional models of equity valuation.peer-reviewe

Share prices and ownership variables : a cross-sectional and temporal analysis

We investigate the relation between share prices and the proportion of equity held by institutional investors for a sample of 52 companies quoted on the Athens Stock Exchange over the period from 1991 to 1996. We differ from earlier studies in as much as use is made of a) an explicit share valuation model and b) temporal and cross-sectional analysis. We find no significant relationship between share prices and institutional holdings. Tentatively, we conclude that institutional investors do not see themselves as part of the decision making team in which they have a stake.peer-reviewe

Corporate Governance and Firm Performance: Results from Greek Firms

In this paper, we construct a Governance Index for a sample of Greek companies quoted on the Athens Stock Exchange. We then classify firms, using each firm governance index, into three governance portfolios. Furthermore, the Fama and French model, extended to include a momentum variable, is tested for each of the three governance portfolios. Our findings suggest that most of the firms in our sample are semi-democracies followed by democracies and dictatorships respectively. Good governance appears to be of value in as much as we found higher Tobin’s q ratios for democracies followed by semi-democracies and dictatorships. We, also, report significant negative abnormal returns for shareholder-friendly and manager-friendly firms. The findings of significant negative abnormal returns are consistent with inefficient capital markets. At a practitioner level, the results imply that firms should practice vigorously good governance, as it is a policy of value to shareholders and possibly to other stakeholders

Corporate Governance and Firm Performance: Results from Greek Firms

In this paper, we construct a Governance Index for a sample of Greek companies quoted on the Athens Stock Exchange. We then classify firms, using each firm governance index, into three governance portfolios. Furthermore, the Fama and French model, extended to include a momentum variable, is tested for each of the three governance portfolios. Our findings suggest that most of the firms in our sample are semi-democracies followed by democracies and dictatorships respectively. Good governance appears to be of value in as much as we found higher Tobin’s q ratios for democracies followed by semi-democracies and dictatorships. We, also, report significant negative abnormal returns for shareholder-friendly and manager-friendly firms. The findings of significant negative abnormal returns are consistent with inefficient capital markets. At a practitioner level, the results imply that firms should practice vigorously good governance, as it is a policy of value to shareholders and possibly to other stakeholders

Spill Over Effects of Futures Contracts Initiation on the Cash Market: A Comparative Analysis

This paper investigates possible spill over effects on the Spot Market due to the initiation of Futures contracts in three different financial markets. According to many analysts there still exists a puzzle regarding the stabilization or destabilization effects of futures contracts. Although the speculative forces (uninformed investors) tend to destabilize the market, rational hedging strategies and the transition of risk allow for stabilization shift. In order to investigate this issue, many researchers during the last decade, have utilized the GARCH framework enriched to capture many stylized financial features, such as the asymmetric response to news and leptokurtosis. However, in this paper the GARCH framework is extended to allow for skewness in the distribution of returns and to examine the timing of possible structural changes, while the conditional mean of the process is adjusted to account for time-varying risk premia and for the day of the week effects decomposition. Furthermore, the distinguishing feature of this paper is the SWARCH econometric model, which enables a dynamic regime shifting through a Markov Chain transition matrix. According to the empirical findings for the UK, Spanish and Greek Capital markets, there exist a significant stabilization effect either in the long run or in the short run, which is negatively associated with the level of efficiency and completeness of these capital markets

Value relevance of institutional investors

In this paper we investigate the influence of institutional investors on share prices using data from companies quoted on the Athens Stock Exchange. For finance theorists the value of an investment, real or financial, is a function of its expected benefits and the riskiness of these benefits. Whatever influences are exerted by the structure of equity ownership are diversified away by efficient risk-averse investors. Managerial and agency theorists argue that the particular ownership structure may have an effect on share value or returns. Their arguments are based (mainly) on the consequences of the separation of ownership from control. In addition to traditional methods of estimation we have used Chamberlain’s (1982) multivariate panel data estimator, which allows for arbitrary patterns of error autocorrelation and parameter temporal behavior. Among all alternative methods of estimation used, only this one produced a statistically significant and econometrically well specified relationship between share prices and institutional shareholdings.peer-reviewe