Stock markets and effective exchange rates in European countries: threshold cointegration findings

© 2015, Eurasia Business and Economics Society. The nexus between stock markets and exchange rates is examined in the case of eight European countries. The sample consists of four economies with national currencies and four that have adopted the euro. Thus, if differences between the two groups in the relationship governing the two markets exist, they will be unveiled. To this effect, a threshold cointegration methodology is adopted that allows for more reliable inferences to be drawn for both the short and long run nexus between the two markets. Monthly data is used covering the period 01/2000–12/2014. The findings reported herein offer support in favor of the portfolio approach thesis over the recent economic crisis period, but this finding is not the case for the entire sample. Bidirectional causality is found for Norway and the UK, pointing to a currency effect on stock markets. In view of the findings reported herein, policies aiming at reducing uncertainty in the stock markets can exert beneficial effects on currency markets

Forecasting financial volatility of the Athens stock exchange daily returns: an application of the asymmetric normal mixture GARCH model

In this paper we model the return volatility of stocks traded in the Athens Stock Exchange using alternative GARCH models. We employ daily data for the period January 1998 to November 2008 allowing us to capture possible positive and negative effects that may be due to either contagion or idiosyncratic sources. The econometric analysis is based on the estimation of a class of five GARCH models under alternative assumptions with respect to the error distribution. The main findings of our analysis are: first, based on a battery of diagnostic tests it is shown that the normal mixture asymmetric GARCH (NM-AGARCH) models perform better in modeling the volatility of stock returns. Second, it is shown that with the use of the Kupiec's tests for in-sample and out-of-sample forecasting performance the evidence is mixed as the choice of the appropriate volatility model depends on the trading position under consideration. Third, at the 99% confidence interval the NM-AGARCH model with skewed Student-distribution outperforms all other competing models both for in-sample and out-of-sample forecasting performance. This increase in predictive performance for higher confidence intervals of the NM-AGARCH model with skewed Student-distribution makes this specification consistent with the requirements of the Basel II agreement. Copyright © 2010 John Wiley & Sons, Ltd.

The IDEFICS community-oriented intervention programme:a new model for childhood obesity prevention in Europe?

Background and objectives: The European Union-as well as other parts of the world-faces a major challenge of increasing incidence of overweight/obesity. In particular, the increase in childhood obesity gives rise to a strong imperative for immediate action. Yet, little is known about the effectiveness of community interventions, and further research in this field is needed. There is, however, a growing consensus that such research should start from the paradigm that the current living environments tend to counteract healthy lifestyles. Questioning these environments thoroughly can help to develop new pathways for sustainable health-promoting communities. Against this background, the IDEFICS (Identification and prevention of dietary- and lifestyle-induced health effects in children and infants) study developed and implemented innovative community-oriented intervention programmes for obesity prevention and healthy lifestyle primarily in children aged 2-10 years in eight European countries: Sweden, Estonia, Germany, Belgium, Hungary, Italy, Spain and Cyprus. Materials and methods: The IDEFICS community-oriented intervention study mobilised an integrated set of interventional efforts at different levels of society, with the aim of facilitating the adoption of a healthy obesity-preventing lifestyle. The overall programme has been composed of 10 modules: three at community level, six at school level and one for parents. The main focus was on diet, physical activity and stress-coping capacity. The sphere of action encompassed both children and their (grand) parents, schools, local public authorities and influential stakeholders in the community. All materials for the interventions were centrally developed and culturally adapted. Results: So far, the following has been achieved: focus group research, literature review and expert consultations were done in an early phase as a basis for the development of the intervention modules. The intervention mapping protocol was followed as guide for structuring the intervention research. The overall intervention programme's duration was 2 years, but a longer-term follow-up programme is under development. Conclusions: This large-scale European effort is expected to contribute significantly to the understanding of this major public health challenge