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

Exchange rate uncertainty and international portfolio flows

This paper examines the impact of exchange rate uncertainty on different components of portfolio flows, namely equity and bond flows, as well as the dynamic linkages between exchange rate volatility and the variability of these two types of flows. Specifically, a bivariate GARCH-BEKK-in-mean model is estimated using bilateral data for the US vis-à-vis Australia, the UK, Japan, Canada, the euro area, and Sweden over the period 1988:01-2011:12. The results indicate that the effect of exchange rate uncertainty on equity flows is negative in the euro area, the UK and Sweden, and positive in Australia, whilst it is negative in all countries except Canada (where it is positive) in the case of bond flows. Under the assumption of risk aversion, this suggests that exchange rate uncertainty induces a home bias and causes investors to reduce their financing activities to maximise returns and minimise exposure to uncertainty. Furthermore, since exchange rate volatility and the variability of flows are interlinked, exchange rate or credit controls on these flows can be used to pursue economic and financial stability

On the linkages between stock prices and exchange rates: evidence from the banking crisis of 2007-2010

This study examines the nature of the linkages between stock market prices and exchange rates in six advanced economies, namely the US, the UK, Canada, Japan, the euro area, and Switzerland, using data on the banking crisis between 2007 and 2010. Bivariate UEDCC-GARCH models are estimated producing evidence of unidirectional Granger causality from stock returns to exchange rate changes in the US and the UK, in the opposite direction in Canada, and bidirectional causality in the euro area and Switzerland. Furthermore, causality-in-variance from stock returns to exchange rate changes is found in the US and in the opposite direction in the euro area and Japan, whilst there is evidence of bidirectional feedback in Switzerland and Canada. The results of the time-varying correlations also show that the dependence between the two variables has increased during the recent financial crisis. These findings imply limited opportunities for investors to diversify their assets during this period

BFKL predictions for inclusive three jet production at the LHC

We define new observables sensitive to BFKL dynamics in the context of multijet production at the large hadron collider (LHC). We propose the study of the inclusive production of three jets well separated in rapidity from each other, with two of them being very forward. We show that the tagging of a third jet in the central region of rapidity allows for a very strong test of the BFKL formalism. In particular, we have studied two projections on azimuthal angles for the differential cross section which allow for the definition of many different observables whose behavior when varying the $p_t$ and rapidity of the central jet is a distinct signal of BFKL dynamics. In order to reduce the theoretical uncertainties and influence of higher order corrections, we propose the study of ratios of correlation functions of products of cosines of azimuthal angle differences among the tagged jets.Comment: 11 pages, 2 figure

Multi-Regge kinematics and azimuthal angle observables for inclusive four-jet production

We evaluate differential cross sections for production of four jets in multi-Regge kinematics at a hadron collider. The main focus lies on azimuthal angle dependences. As in previous studies, the ratios of correlation functions of products of cosines of azimuthal angle differences among the tagged jets offer us the cleanest quantities to compare with experimental data. The calculations are based on the jet production from a single BFKL ladder with a convolution of three BFKL Green functions where we always have two forward/backward jets tagged in the final state. We also demand the tagging of two further jets in more central regions of the detectors with a relative separation in rapidity from each other, plus the inclusive production of an arbitrary number of mini-jets. We show that dependences on the transverse momenta and rapidity of the two central jets can be a distinct signal of the onset of BFKL dynamics.Comment: 13 pages, 4 figure

Inclusive Four-jet Production at 7 and 13 TeV: Azimuthal Profile in Multi-Regge Kinematics

Recently, new observables in LHC inclusive events with three tagged jets were proposed. Here, we extend that proposal to events with four tagged jets. The events are characterised by one jet in the forward direction, one in the backward direction with a large rapidity distance $Y$ from the first one and two more jets tagged in more central regions of the detector. In our setup, non-tagged associated mini-jet multiplicity is present and needs to be accounted for by the inclusion of BFKL gluon Green functions. The projection of the cross section on azimuthal-angle components opens up the opportunity for defining new ratios of correlation functions of the azimuthal angle differences among the tagged jets that can be used as probes of the BFKL dynamics.Comment: 19 pages, 8 figures; v2: published versio