The Day of the Week Effect Patterns on Stock Market Return and Volatility: Evidence for the Athens Stock Exchange

This paper investigates the day of the week effect in the Athens Stock Exchange (ASE) General Index over a ten year period divided into two subperiods: 1995-2000 and 2001-2004. Five major indices are also considered: Banking, Insurance, and Miscellaneous for the first subperiod, and FTSE-20 and FTSE-40 for the second subperiod. Using a conditional variance framework, which extends previous work on the Greek stock market, we test for possible existence of day of the week variation in both return and volatility equations. When using the GARCH (1,1) specification only for the return equation and the Modified-GARCH (1,1) specification for both the return and volatility equations, findings indicate that the day of the week effect is present for the examined indices of the emerging ASE over the period 1995-2000. However, this stock market anomaly seems to loose its strength and significance in the ASE over the period 2001-2004, which might be due to the Greek entry to the Euro-Zone and the market upgrade to the developed.Day of the week effect; mean stock returns; volatility; GARCH

Initial Performance of Greek IPOs, Underwriter’s Reputation and Oversubscription

This paper provides additional international evidence on the IPOs by examining the initial performance and two main determinants of short-run underpricing of 169 IPOs listed on the Athens Stock Exchange (ASE) over the period 1997-2002. The initial performance of the IPOs is measured by calculated two formulas: the raw returns and the excess or adjusted returns of the first, fifth and twenty first day respectively. Furthermore, we use a proxy to rank the underwriters’ prestige along with the times of oversubscription, which are introduced as explanatory variables in our model. The results of the analysis provide evidence of significant underpricing. Furthermore, the cross sectional analysis on the determinants of the IPOs shows that both the underwriters’ prestige and the times of oversubscription significantly affect the underpricing level of the IPOs over the most important and “hot” period for the Greek emerging stock market since its establishment, in terms of growth rates, acceleration of the going public process and volatility of market and stock returns.IPOs, underpricing, oversubscription, underwriters’ prestige, Athens Stock Exchange.

Testing technical anomalies in Athens stock exchange (ASE)

The purpose of this paper is to investigate the existence of historical Market anomalies in the Athens Stock Market (ASE). The market anomalies that are going to be explored are technical ones concerning the trading rules of the various types of moving averages. The above anomalies were observed in most developed and developing markets. This study will investigate these effects for the most important index of the Athens market, the Athens General Index. The data used are for the period from 1/1/1990 to 31/12/2004. Overall, our results confirm the existence of technical anomalies in ASE and provide strong support for profitability of those technical trading rules.peer-reviewe

Volatility spillovers between fine wine and major global markets during COVID-19: A portfolio hedging strategy for investors

Motivated by the growing necessity of portfolio diversification, this paper investigates the dynamic connectedness among fine wine, equities, bonds, crude oil, commodities, gold, copper, shipping and real estate by applying the Diebold and Yilmaz (2012) approach, based on the time-varying parameter vector autoregressive (TVP-VAR) model of Antonakakis et al. (2020), for the period 1/1/2010-5/31/2021. Our results indicate moderate volatility spillovers among the markets over time, whereas total connectedness is prone to exogenous shocks, reaching its peak during stress periods. Equities, crude oil, gold and fine wine are the net contributors of spillovers, whereas real estate, commodities, copper, bonds and shipping constitute the net receivers of the diffused shocks. Furthermore, we estimate and compare the hedging ability of fine wine, before and after the emergence of the coronavirus pandemic, to instruct investors in rebalancing their portfolio strategies during COVID-19. The empirical findings suggest that fine wine can form an effective hedging tool to reduce the risk deriving from adverse movements of the markets and its hedging ability was enhanced during COVID-19, with few exceptions. Regardless time period, the highest hedging effectiveness can be achieved by taking a long position in the volatility of crude oil and a short position in the volatility of fine wine

Are Timber and Water Investments Safe-Havens? A Volatility Spillover Approach and Portfolio Hedging Strategies for Investors

Using a time-varying spillover approach, we investigate volatility spillovers between natural alternative investments, i.e. timber and water, and a battery of traditional instruments comprising equities, bonds, crude oil, gold, real estate, shipping and currency, for the period 1/1/2010-9/30/2021. Results show that the sample markets are moderately integrated and total connectedness escalated during stress periods. Moreover, we examine the hedging ability of timber and water by constructing optimal hedge ratios and portfolio weights. Both assets constitute an effective hedging tool for shipping, crude oil and bond investors, with the short position in the volatility of water to provide higher hedging effectiveness

An investigation of cointegration and casualty relationships between the PIIGS’ stock markets

The aim of this paper is to investigate the relationship of price changes in the southern European E.U. member states through their stock markets and especially among the exchange markets of Portugal, Italy, Ireland, Greece and Spain, known also as the PIIGS countries. More specifically, it is examined whether cointegration and causality relationships exists among the PIIGS’ Stock Markets while by testing these relationships the existence of the Efficient Market Hypothesis (EMH) among these stock markets is also tested. In case of cointegration relationships between these markets it is proved that possible advantages by internationalizing portfolio diversification are limited and further attention must be given for the selection of an internationalized optimal portfolio. It is also wealth mentioning that since 2012 Europe faces a serious economic crisis which is deeper in the member states of the South, so even further attention must be given to the construction of optimal portfolios.peer-reviewe

Epidemiology of acute coronary syndromes in a Mediterranean country; aims, design and baseline characteristics of the Greek study of acute coronary syndromes (GREECS)

BACKGROUND: The present study GREECS was conducted in order to evaluate the annual incidence of acute coronary syndromes (ACS) and to delineate the role of clinical, biochemical, lifestyle and behavioral characteristics on the severity of disease. In this work we present the design, methodology of the study and various baseline characteristics of people with ACS. METHODS/DESIGN: A sample of 6 hospitals located in Greek urban and rural regions was selected. In these hospitals we recorded almost all admissions due to ACS, from October 2003 to September 2004. Socio-demographic, clinical, dietary, psychological and other lifestyle characteristics were recorded. 2172 patients were included in the study (76% were men and 24% women). The crude annual incidence rate was 22.6 per 10,000 people and the highest frequency of events was observed in winter. The in-hospital mortality rate was 4.3%. The most common discharged diagnosis for men was Q-wave MI, while for women it was unstable angina. DISCUSSION: This study aims to demonstrate current information about the epidemiology of patients who suffer from ACS, in Greece

Electronic – Banking and Customer Satisfaction in Greece. The Case of Piraeus Bank.

In this study, we examine the relationship among service quality, customer satisfaction and customer loyalty regarding e-banking services. We also evaluate and identify the service quality dimensions that impact customer satisfaction regarding Piraeus bank e- banking services using a modified SERVQUAL model. The data used in the research was collected a questionnaire sent to users of Piraeus bank electronic services in Greece. Regression and correlation analyses were used to analyze the collected data and test some stated hypotheses. Based on the results of the data analyses, we concluded that assurance and reliability have major effects on customer satisfaction. The results also show that there is a positive and strong relationship between service quality and customer satisfaction and between customer satisfaction and customer loyalty. Each of the SERVQUAL dimensions are also found to be highly correlated with service quality. What all these results indicate is that in order to increase customer satisfaction and loyalty, banks must improve service quality. Also from the results, we find that the correlation between customer satisfaction and service quality is higher than the correlation between customer satisfaction and customer loyalty. Finally, due to multicollinearity, two dimensions, assurance and tangibles; were excluded from the fitted regression model in the research. This makes us wonder whether, in fact, SERVQUAL model is appropriate for measuring the quality of e- banking services