Impact of international volatility and the introduction of individual stock futures on the volatility of a small market

This study analyzes the effect of individual share futures as well as the international volatility spillover on the Greek market. We have found that individual share futures have had a beneficial effect on the volatility of the underlying stocks in various ways. We have also concluded that stock returns in the Greek market receive a mean spillover effect from the major markets of the European Union, from the U.S. and Japan markets and volatility spillover only from the major markets in the E.U. The methodology employed is the capturing asymmetries model proposed by Glosten et al. (1989) (GJR) and the period analyzed covers from August 1997 to January 2006.peer-reviewe

Manufacturing SMEs Competitiveness against the Crisis: Management Characteristics and New Perspectives

The purpose of this paper is to study the drivers of competitiveness in sectors of the Greek manufacturing industry, both in the pro and post economic crisis era, based on firm level financial and qualitative data cover this gap, providing evidence about factors impact competitive dynamic of Greek manufacturing SMEs taking into account aspects of IT, knowledge management, training, innovation and financial ratios. The study is structured as follows: the next section presents a literature review on this subject, while section 3 highlight the methodology as well as the model approach of the study. In section 4, the empirical results of the study are presented and section 5 the main findings are discussed. Section 6 summarizes the empirical findings and draws the policy implications of the study

Α GARCH examination of macroeconomic effects on U.S. stock market : a distinction between the total market index and the sustainability index

The paper examines the impact of several macroeconomic variables on the Dow Jones Sustainability and Dow Jones Wilshire 5000 indexes, using a GARCH model and monthly data for the period January, 2000 to January, 2008. The results show that changes in returns of crude oil prices affect negatively the U.S. stock market, contrary to changes in returns of the 10-year bond value that affect it positively. Both economic indicators influence the DJSI with a month delay. Also, the exchange rate volatility affects negatively the returns of the U.S. stock market and the non-farm payroll can be characterised as a stabilising factor for the DJSI.peer-reviewe

Investigation of convergence in the tourist markets of Greece

This study aims at exploring the issue of convergence in the tourist market of Greece based on tourist arrivals from different destinations. The period of the analysis covers the years 1995-2015. The sample includes 18 countries, namely Albania, Australia, Austria, Belgium, France, Germany, Denmark, Switzerland, United Kingdom, USA, Spain, Italy, Canada, Cyprus, Netherlands, Romania, Russia, and Czech Republic. Initially, conventional panel unit root tests were applied, which showed no signs of convergence. Subsequently, panel unit root test was used, based on which a break point is calculated endogenously. It was found that (except in the case of Russia), countries show signs of convergence, with time points of disruption that correspond to the years of the recent crisis as well as the Olympic Games. The analysis revealed these countries for which tourism policies are effective and therefore should be in the center of interest for Greece. Regarding the case of Russia, tourism policy seems to be ineffective and should be redefined.peer-reviewe

The Effect of Financial and Macroeconomic Factors on the Oil Market

Our objective in this paper is to contribute to the discussion and identify, in the short-run, the effects of basic financial indicators (Equity, Bonds, Exchange Rates, Baltic Exchange Dry Index) and widely traded commodities (Gold, Wheat) on the crude oil market. A GARCH model is employed to test the above hypothesis for the period of almost ten years using daily data from June 1st, 2004 to May 30th, 2014. The results coming out of our investigation suggest that wheat and bonds markets have negative impact to the oil market. Also, the results indicate that the volatility of U.S. $/Yen exchange rate and the volatility of Baltic Exchange Dry Index influence significantly negatively the oil market. Lastly, our findings indicate that both, gold market as well as stock market, positively influence the oil market, confirming the relevant literature which was reviewed and summarized. Keywords: GJR-GARCH model, Crude oil WTI, Gold, Equity market, Exchange rates, Bonds market, Commodities, Baltic Exchange Index. JEL Classifications: G10; Q4

Determinants of dissemination of environmental information: an empirical survey

The major objective of the present paper is to identify the factors that influence the dissemination of environmental information. In particular, analyst stock recommendation, country level risk, corporate value and environmental performance are surveyed as determinants of the environmental dissemination level. The survey was based on a sample of 92 multinational firms for the period 2009–2013, longer than that used in most past works. The methodology employed on our data is the panel data analysis with fixed effects. As proxies, for the dissemination level of environmental information, two different environmental disclosure indexes are used the Environmental Disclosure Score and Carbon Disclosure Leadership Index. According to our findings, the environmental performance in terms of Emission Reduction Initiatives and the country’s risk premium affects in a positive way the dissemination of environmental disclosures while the results regarding the stock analyst recommendation are controversial. Another important finding is that the firm’s value is validated as an insignificant factor for the dissemination level of environmental information. The aforementioned results provide the corporate managers with a tool to attract environmental friendly investors. The novelty on the present manuscript stands on the use of proxies for the environmental performance; namely the first one is based on outcome – objective while the second one refers to the corporate intention, elements that enrich the existing literature in the field of environmental behavior and dissemination of the environmental information of a firm

The Effect of Crude Oil Price Moments on Socially Responsible Firms in Eurozone

The present study examines the effect of moments of crude oil prices including the variance, skewness and kurtosis, on the returns of the Dow Jones Sustainability Index (DJSI) of the Eurozone. The GARCH model is employed to examine the relationship of these moments with the DJSI of the Eurozone, for the time period from November 2001 until March 2015. According to our findings, an increase in the oil returns, as well as in the oil price volatility, leads to a decrease in the value of the Index employed. It was also found that asymmetry affects positively the stock price of the Eurozone social responsibility companies, because the more the asymmetry increases, the less the concentration of the prices to the right side of the distribution, consequently the more the investors feel that the related risk is reduced, as the frequency of oil prices is below the average oil price. On the contrary, it was found that the interaction of asymmetry and kurtosis of oil prices affect negatively the DJSI of the Eurozone, a fact that is attributed to the kind of the oil price distribution for the above mentioned time period.   Keywords: Volatility; Stock Exchange Market; GARCH model; Eurozone Dow Jones Sustainability Index JEL Classifications: C58, Q40, Q50, M2

An analysis of United States on Dow Jones Sustainability Index

This paper examines the effect of various economic and financial indicators on the Dow Jones Sustainability Index (DJSI) returns. In particular, four explanatory variables are employed, namely United States (US) 10 Year bond value, gold price, Trade Weighted U.S. Dollar Index and Consumer Sentiment Index calculated by Michigan University. A generalized autoregressive conditional heteroskedasticity (GARCH) model is applied over DJSI United States which incorporates socially responsible companies for the period August, 1999 to May, 2016 using monthly data. The empirical results indicate that the consumer sentiment and the bond market exert positive impact on the DJSI US, whereas the gold and currency market affects it negatively. In addition, the structural analysis of DJSI US returns volatility showed that the US trade balance has a stabilizing effect on the conditional variance of the DJSI US return series. JEL Classification: G1, F2, Q40, M21. Keywords: Dow Jones Sustainability Index, bond value, gold, exchange rate, consumer sentimen