Measuring the Impact of Stock Exchange Rules on Volatility and Error Transmission – The Case of European Cross-Listed Equities

This paper investigates the relationship between spillover effects and stock market regulations for a sample of cross-listed European firms. Using LaPorta et al.’s (1998) stock exchange regulatory classification we identify firms that have cross-listed on foreign exchanges with either tougher, weaker or similar accounting disclosure, bankruptcy and shareholder protection rules. We then use the GARCH approach suggested by Karolyi (1995) and Engle and Kroner (1995) to estimate volatility and error transmission for our sample of cross-listed equities, taking into account regulatory differences between exchanges. Our results show how differences in stock exchange rules can influence spillovers between foreign cross-listed equities and the respective market indices. Accounting disclosure rules also seem to have less of an effect on cross-listed share volatility transmission than do differences in shareholder and bankruptcy protection rules

Forecasting Daily Returns: A Comparison Of Neural Networks With Parametric Regression Analysis

Since the seminal work of Fama (1965), many researchers have found that the actual distribution of stock returns, for the USA market, is significantly non-normal. Our study is focusing on the examining stock returns predictability for the Hellenic market given some macroeconomic variables. The objective is to use the given information set to reach an optimal way for forecasting. Hence, two basic models for forecasting are examined; a multivariable OLS regression approach and a non-parametric neural network approach and we compare them, based on the minimum forecasted error. Then, the approach that gives the minimum forecasting error is selected. The results indicated that better forecasting approach between the selected two ones is the neural network regression, since it has the smaller mean absolute percent error

Productivity Measuring In The Czech Banking Industry

In this paper we investigate the productivity of the Czech banking industry for the period 1996-2002. The non-parametric frontier method of data envelopment analysis (DEA) is used in order to estimate the Malmquist total factor productivity (TFP) change indices for 134 year-firm observations. Using the value added approach and calculating the geometric mean of the TFP, we find that the level of productivity of financial institutions meets a decline of 0.7%. Moreover, the technical efficiency changes (TEC) is greater than unity, while the technological change (TC) is less than unity for the Czech banks during the period 1996 -2002

Aspects de la divination dans la monarchie macédonienne

L’article examine les dimensions politiques et religieuses de l’image d’Alexandre le Grand qui, à un moment donné de l’expédition asiatique, interprète lui-même un signe. Il semble que nous avons affaire à un roi-exégète, situé dans le contexte d’une monarchie dont le souverain était aussi le magistrat religieux suprême. Il s’agit d’une image qui invite à réfléchir sur l’importance de la divination à la cour macédonienne, sur les personnes qui y sont impliquées, ainsi que sur les rapports entre pratiques divinatoires grecques, babyloniennes et romaines.This article examines the political and religious dimensions of the image of Alexander the Great who, at a certain point in his Asian campaign, interprets a sign on his own. It seems that we are dealing with a king who is placed in the context of a monarchy whose head is also the head of religious affairs. This is an image that makes us think about the importance of divination in the Macedonian court, about the persons involved, as well as about the links between the religious practices of Greece, Babylon and Rome

The Impact of Euro on Athens Stock Market Index

This paper examines whether the introduction of Euro in the Greek market has changed the attitude of the Athens Stock Index due time. The estimation results indicate that after the introduction of Euro, the ASE index had more asymmetric effect, while there was a decrease in the existing persistence. In addition, it was depicted that the sign of innovations is signifi cant in the after-Euro period, showing that only the large negative shocks can cause more volatility in contrast to the pre-Euro period, and thus the risk of the ASE index’s stocks was more increased in the after-Euro period

Political elections, abnormal returns and stock price volatility: the case of Greece

The impact of the Greek political elections on the return and volatility of the Athens Stock Exchange (ASE) is investigated using both the standard event study methodology and various univariate GARCH models. The empirical results reveal positive pre- and post-election abnormal returns, but negative on the day of the election. Strong evidence is also found that suggests that the election outcome significantly affects the ASE return; however, the evidence is rather limited for the ASE volatility. The empirical findings raise doubts about the efficiency of the Greek stock market and might have important implications for investors with respect to decisions regarding entering and/or exiting the market or investment strategies around time periods where political elections are going to take plac

International trade and foreign direct investment as growth stimulators in transition economies: does the impact of institutional factors matter?

The present paper develops a general production function framework, augmented with two institutional variables namely bureaucracy and corruption on 28 transition economies over the period 2000-2015. The authors use various econometric specifications and apply both the Fixed Effects, as well as the advanced system Generalized Method of Moments (GMM) panel data techniques. Empirical findings suggest that the impact of openness in terms of foreign direct investment and international trade is advantageous to all the economies of the panel. Furthermore, the findings indicate that classical growth determinants, such as labor and physical capital, have the expected positive contribution, while macroeconomic instability has a negative effect on real economic activity. Regarding the impact of the two institutional variables, corruption, and bureaucracy, the authors retrieve more influential results, as their impact appears to be diametrically opposite between the former Soviet Union states and the rest of European transition economics