Herd behaviour in extreme market conditions: The case of the Athens stock exchange

This paper examines herd behaviour in extreme market conditions using data from the Athens Stock Exchange. We test for the presence of herding as suggested by Christie and Huang (1995) and Chang, Cheng, and Khorana (2000). Results based on daily, weekly and monthly data indicate the existence of herd behaviour for the years 1998-2007. Evidence of herd behaviour over daily time intervals is much stronger, revealing the short-term nature of the phenomenon. When the testing period is broken into semi-annual sub-periods, herding is found during the stock market crisis of 1999. Investor behaviour seems to have become more rational since 2002, owing to the regulatory and institutional reforms of the Greek equity market and the intense presence of foreign institutional investors

Testing for persistence in mutual fund performance and the ex post verification problem: Evidence from the Greek market

The present study examines a series of performance measures as an attempt to resolve the ex post verification problem. These measures are employed to test the performance persistence hypothesis of domestic equity funds in Greece, during the period 1998-2004. Correctly adjusting for risk factors and documented portfolio strategies explains a significant part of the reported persistence. The intercept of the augmented Carhart regression is proposed as the most appro- priate performance measure. Using this measure, weak evidence for persistence, only before 2001, is documented. The growth of the fund industry, the direction of flows to past winners and the integration in the international nancial system are suggested to be the reasons for the absence of performance persistence

Evaluating Greek equity funds using data envelopment analysis

This study assesses the relative performance of Greek equity funds employing a non-parametric method, specifically Data Envelopment Analysis (DEA). Using an original sample of cost and operational attributes we explore the e¤ect of each variable on funds' operational efficiency for an oligopolistic and bank-dominated fund industry. Our results have significant implications for the investors' fund selection process since we are able to identify potential sources of inefficiencies for the funds. The most striking result is that the percentage of assets under management affects performance negatively, a conclusion which may be related to the structure of the domestic stock market. Furthermore, we provide evidence against the notion of funds' mean-variance efficiency

A Multivariate Analysis of United States and Global Real Estate Investment Trusts

Using daily data for the period February 2006 to July 2013 we examine the return and volatility linkages between the two main United States REIT sub-sectors and global linkages between the Americas, Europe and the Asia Pacific regions using the BEKK-GARCH and the DCC-GARCH models. We find that there is no evidence of any volatility spillovers between the US sub-sectors. By contrast, we find evidence of volatility spillovers between the Asia Pacific and the Americas, the Asia Pacific and Europe but no spillovers between the United States and Europe. Our results suggest that the REIT market is becoming increasingly globalized and that investors need to consider time varying volatility and correlations across different regions of the world when forming their optimal portfolio-allocations

Are Greek Mutual Fund Managers Market Timers?

We use a simple non-linear model, that of Treynor and Mazuy, to test the ability of Greek mutual fund managers to time the market. The empirical findings do not reveal any ability of the Greek managers to time the market correctly or select undervalued securities. In contrary ,five out of nineteen mutual funds present a negative statistical significant coefficient of market timing. We attribute this phenomenon to the lack of experience of the managers within the short period of the life of mutual funds in Greece. Recent literature on mutual fund performance has inquired into the qualitative characteristics of mutual fund managers such as age, education, experience, etc. This line of research holds some promise in explaining the results presented in this paper.Mutual Funds, Selectivity, Market Timing

Chasing trend and losing money: open end mutual fund investors' trading behaviour in Greece

This study examines the trading behaviour of mutual fund investors, its medium-term profitability and its impact on the performance of individual funds. An important yet thinly investigated subject is examined under the prism of a small emerging stock market growing to maturity, during both a strong bull and a violent bear market. The findings of this study are insightful: Mutual fund investors do not chase past returns. The empirical evidence also suggests that they do not hunt past superior performance. However, they do seem to employ a current-performance momentum screen to pick their funds, while their trading behaviour doesn't seem to affect the concurrent performance of the fund. Finally, it is claimed that mutual fund investors are perverse fund pickers. The suggested conclusion can only be that money is inefficiently invested in mutual funds.

Distributed Long-Lived List Colouring: How to Dynamically Allocate Frequencies in Cellular Networks

To avoid signal interference in mobile communication it is necessary that the frequencies used for communication within each cell are allocated so that no signal interference occurs with neighbouring cells. We model this channel allocation problem as a generalised list colouring problem and we show how to analytically measure and provide worst-case guarantees regarding request satisfiability. To the best of our knowledge, this has not been done before and gives a now perspective to the problem, as well as a clear direction for further investigation. We propose distributed approaches for solving the problem, which are able to adapt fast to temporal variations in channel demands in different cells, as well as to cope with crash failures, by limiting the failure-locality - the size of the network that can be affected by a faulty station, in terms of the distance from that station. Our first approach is inspired by a relatively recent theorem relating graph colourings and orientations; it achieves the equivalent of the best known sequentially achievable upper bound for request satisfiability, implied by the theorem. It also employs a powerful synchronisation mechanism to achieve worst-case response time that depends only on A - the degree of the signal interference graph - and failure locality 4. Our second proposal is a first approach towards exploring what bound in request satisfiability is achievable without the use of extra synchronisation; by employing randomisation in frequency choices, in only one round of communication, a base station can expect to pick f/(4Delta) frequencies, where f is the size of the list at the node; the failure locality of this solution is only 1

Distributed Long-Lived List Colouring: How to Dynamically Allocate Frequencies in Cellular Networks

To avoid signal interference in mobile communication it is necessary that the frequencies used for communication within each cell are allocated so that no signal interference occurs with neighbouring cells. We model this channel allocation problem as a generalised list colouring problem and we show how to analytically measure and provide worst-case guarantees regarding request satisfiability. To the best of our knowledge, this has not been done before and gives a now perspective to the problem, as well as a clear direction for further investigation. We propose distributed approaches for solving the problem, which are able to adapt fast to temporal variations in channel demands in different cells, as well as to cope with crash failures, by limiting the failure-locality - the size of the network that can be affected by a faulty station, in terms of the distance from that station. Our first approach is inspired by a relatively recent theorem relating graph colourings and orientations; it achieves the equivalent of the best known sequentially achievable upper bound for request satisfiability, implied by the theorem. It also employs a powerful synchronisation mechanism to achieve worst-case response time that depends only on A - the degree of the signal interference graph - and failure locality 4. Our second proposal is a first approach towards exploring what bound in request satisfiability is achievable without the use of extra synchronisation; by employing randomisation in frequency choices, in only one round of communication, a base station can expect to pick f/(4Delta) frequencies, where f is the size of the list at the node; the failure locality of this solution is only 1