On Volatility Transmission between Gold and Silver Markets: Evidence from A Long-Term Historical Period

Several studies estimate the volatility spillover effects between gold and silver returns, but none of them used the implied volatility to evaluate the long-term relationship between these two metal markets. Our paper aims to fill this gap in the existing literature. This paper investigates the long-term volatility transmission between gold and silver; by using GARCH and VAR modelling, it finds that the volatility transmission from gold to silver is unidirectional. Volatility strategies using options can be designed to take advantage of this especially in times where the volatility transmission is not captured by the markets. Additionally, the results appear to be useful for gaining better portfolio diversification benefits. Investors, for instance, could use the results of this study for making proper investment decisions during the period of economic down-turns or inflation surges

Risk Management of Interest Rate Derivative Portfolios: A Stochastic Control Approach

In this paper we formulate the Risk Management Control problem in the interest rate area as a constrained stochastic portfolio optimization problem. The utility that we use can be any continuous function and based on the viscosity theory, the unique solution of the problem is guaranteed. The numerical approximation scheme is presented and applied using a single factor interest rate model. It is shown how the whole methodology works in practice, with the implementation of the algorithm for a specific interest rate portfolio. The recent financial crisis showed that risk management of derivatives portfolios especially in the interest rate market is crucial for the stability of the financial system. Modern Value at Risk (VAR) and Conditional Value at Risk (CVAR) techniques, although very useful and easy to understand, fail to grasp the need for on-line controlling and monitoring of derivatives portfolio. The portfolios should be designed in a way that risk and return be quantified and controlled in every possible state of the world. We hope that this methodology contributes towards this direction

Μέθοδοι δυναμικής διαχείρισης χαρτοφυλακίου στα αποθεματικά των ασφαλιστικών ταμείων στην Ελλάδα

The examination of an effective financial management of pension reserve funds in the modern financial environment is the aim of this thesis. International money and capital markets are regularly confronted with opportunities and risks that can upset investment plans. The modern management tools aim to exploit these opportunities by providing maximum flexibility in the decision-making process.The purpose of this study is to analyze whether the professional investment management aims at ensuring the national social security system’s sustainability, adequacy and reliability, by using the basic principles of financial theory and contemporary investment tools. The results show that the active investment management can provide satisfactory performance in the pension reserve funds while can reduce investment risks. Furthermore, the pension reserve funds’ management should involve a flexible institutional framework together with an ongoing performance evaluation of fund managers.Η εξέταση της αποτελεσματικότερης χρηματοοικονομικής διαχείρισης των αποθεματικών των ασφαλιστικών ταμείων στο σύγχρονο χρηματοοικονομικό περιβάλλον είναι στο επίκεντρο της παρούσας διατριβής. Οι διεθνείς αγορές χρήματος και κεφαλαίου παρουσιάζουν κατά καιρούς ευκαιρίες αλλά και κινδύνους, που ανατρέπουν τα σχέδια και τις μελλοντικές επιθυμίες των επενδυτών. Η επαγγελματική διαχείριση στοχεύει στην εκμετάλλευση των ευκαιριών αυτών μέσα από σύγχρονα εργαλεία διαχείρισης τα οποία μπορούν να προσφέρουν μέγιστη ευελιξία στις αποφάσεις των διαχειριστών.Ο σκοπός της παρούσας διατριβής είναι να αναλύσει μέσα από τις βασικές αρχές της χρηματοοικονομικής θεωρίας και τα σύγχρονα επενδυτικά εργαλεία κατά πόσο η επαγγελματική διαχείριση μπορεί να συμβάλλει στη βιωσιμότητα, την επάρκεια και την αξιοπιστία του εθνικού συστήματος κοινωνικής ασφάλισης.Τα αποτελέσματα της έρευνας δείχνουν ότι η ενεργητική διαχείριση μπορεί να δώσει ικανοποιητικές αποδόσεις στα αποθεματικά των ασφαλιστικών ταμείων ενώ παράλληλα μπορεί να μειώσει τους επενδυτικούς κινδύνους. Παράλληλα τα βασικά στοιχεία που πρέπει να χαρακτηρίζουν τη διαχείριση των αποθεμάτων των ασφαλιστικών ταμείων είναι η ευελιξία στο θεσμικό πλαίσιο και η αξιολόγηση των διαχειριστών τους

Importance of the contingent claims analysis in detecting banking risks: Evidence from the Greek bank crisis

In this paper we apply the Contingent Claims Analysis (CCA) to the banking sector in Greece with a particular focus on the years of the Greek debt crisis. Greece was selected primarily because its banking sector was hit hard due to the country's government debt default and its large exposure to domestic loans. The results obtained on the SIB's level and on the banking sector level gave us particular insight into the benefits of CCA for micro- and macroprudential policy reasons. The Distance-to-Distress (DtD) risk metric produced is particularly useful for detecting banks' vulnerabilities and resilience before they are revealed in the market. Moreover, the reduced volatility of DtD time series makes it an ideal candidate for tool predictions purposes and ultimately for policy reasons

Hedging effectiveness for international index futures markets

This paper investigates the hedging effectiveness of the International Index Futures Markets using daily settlement prices for the period 4 January 2010 to 31 December 2015. Standard OLS regressions, Error Correction Model (ECM), as well as Autoregressive Distributed Lag (ARDL) cointegration model are employed to estimate corresponding hedge ratios that can be employed in risk management. The analyzed sample consists of daily closing market rates of the stock market indexes of the USA and the European futures contracts. The findings indicate that the time varying hedge ratios, if estimated through the ARDL model, are more efficient than the fixed hedge ratios in terms of minimizing the risk. Additionally, there is evidence that the comparative advantage of advanced econometric approaches compared to conventional models is enhanced further for capital markets within peripheral EU countrie

Cannabis stocks returns: The role of liquidity and investors' attention via google metrics

This paper studies one of the most popular investment themes over recent years, investing in the cannabis industry. In particular, it investigates relationships between investor attention, as proxied by Google Trends, and stock market activities, i.e., return, volatility, and liquidity. To this end, in the empirical analysis we study how liquidity and investors' attention affect the return dynamics of an investment in cannabis stocks by augmenting the three-factor Fama-French model. In addition, we use a vector autoregressive approach and the impulse response function to measure shock transmission between the variables under consideration. Our empirical findings show that there is a statistically positive relationship between cannabis stock returns and liquidity. We also find that increased investors' attention results in higher returns

Selectivity and Market Timing Skills in Emerging Greek Equity Mutual Funds During the Sovereign Debt Crisis

This paper evaluates the performance of seventeen Greek equity mutual funds before and after the sovereign debt crisis. By being based on the Capital Asset Pricing Model (CAPM), the selectivity and market timing skills of these funds are under scrutiny. This takes place by assigning a linear form to the Beta coefficient and transforming the traditional CAPM equation into a second order polynomial. Results provide evidence of an improvement in selectivity and market timing skills for the majority of these emerging funds after the outburst of the debt crisis and the adoption of measures by Troika. Thereby, the potential of excess profit-making possibilities for capable fund managers in the Greek fund market is enhanced during non-conventional periods in comparison to normal times, even though the Efficient Markets Hypothesis (EMH) still holds

Cannabis Stocks Returns: The Role of Liquidity and Investors’ Attention via Google Metrics

This paper studies one of the most popular investment themes over recent years, investing in the cannabis industry. In particular, it investigates relationships between investor attention, as proxied by Google Trends, and stock market activities, i.e., return, volatility, and liquidity. To this end, in the empirical analysis we study how liquidity and investors’ attention affect the return dynamics of an investment in cannabis stocks by augmenting the three-factor Fama–French model. In addition, we use a vector autoregressive approach and the impulse response function to measure shock transmission between the variables under consideration. Our empirical findings show that there is a statistically positive relationship between cannabis stock returns and liquidity. We also find that increased investors’ attention results in higher returns