Showing 1 - 10 of 101
Purpose – The paper aims to investigate the monthly and trading month effects in the stock market returns of the ASE using daily data before and after the crisis of 1999‐2001. In addition, the study seeks to consider data from both periods of the ASE, before and after the upgrade of the...
Persistent link: https://www.econbiz.de/10014940000
Purpose – The paper's aim is to examine the influence of the Greek political elections on the course of the Athens Stock Exchange (ASE). Using daily data from the ASE General Price Index, it seeks to empirically examine the effect of political elections (Parliamentary and European elections)...
Persistent link: https://www.econbiz.de/10014940002
Purpose – The paper's objectives are: to address the issue of cointegration (efficient market hypothesis) between Greek spot and futures markets over the period of the crisis, 1999‐2001; to investigate the short‐run and long‐run efficiency of the FTSE/ASE‐20 stock index futures contract...
Persistent link: https://www.econbiz.de/10014940004
Purpose: The purpose of this paper is to identify whether heuristic and herding biases influence portfolio construction and performance in Greece. The current research determines the situation among investors in Greece, a country with several economic problems for the last decade....
Persistent link: https://www.econbiz.de/10012541839
Purpose: The authors examine the short-term stock market reaction surrounding US layoffs during the coronavirus disease 2019 (COVID-19) period. The authors’ specific interest is on any changes that may be observed in US stock markets during the COVID-19 outbreak. This...
Persistent link: https://www.econbiz.de/10012812240
Purpose: The purpose of this paper is to investigate the stock market response to dividend announcements in high growth emerging markets of Gulf countries. Design/methodology/approach: The sample includes 1,092 dividend announcements from 299 listed firms over the period 2010-2015. Findings: In...
Persistent link: https://www.econbiz.de/10012074356
Purpose – The paper seeks to explain volatility and risk (VaR) modelling using data from international financial markets, and particularly to evaluate the performance of minimum capital risk requirements (MCRR) estimates in an out‐of‐sample period using the bootstrapping approach....
Persistent link: https://www.econbiz.de/10014785271
Purpose The purpose of this paper is to examine the effect of trading volume and open interest on volatility of futures markets. The authors capture the size and change in speculative behaviour in futures markets by examining the role of liquidity variables (trading volume and open interest) in...
Persistent link: https://www.econbiz.de/10014785499
Purpose – The purpose of this paper is to empirically test dominant theories and assumptions in behavioral finance, using data from the Standard & Poor's 500 index. Design/methodology/approach – The empirical analysis has three parts: to test the assumption of risk aversion; to examine the...
Persistent link: https://www.econbiz.de/10014901608
Purpose – The purpose of this paper is to empirically test dynamic hedging, using data from the FTSE-100 and Standard & Poor’s (S&P) 500 futures indices. Design/methodology/approach – The authors introduce a dynamic continuous-time hedging model in futures markets. The authors further...
Persistent link: https://www.econbiz.de/10014902083