This paper examines hedging in Greek stock index futures market. The focus is on various techniques to estimate constant or time-varying hedge ratios. For both available stock index futures contracts of the Athens Derivatives Exchange (ADEX), a variety of econometric models are employed to...

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....

This article examines hedging in South African stock index futures market. The hedge ratios are estimated by six econometric techniques: the standard OLS regression, simple and vector error correction models, the ECM with generalised autoregressive heteroskedasticity (GARCH), as well as...

This article examines the relation between price and open interest in the Greek stock index futures market. The focus is on GARCH effects and the long–run information role of open interest. The results show that current open interest helps in explaining GARCH effects, while a negative...

We employ recent data from 59 international emerging and mature stock markets to provide new evidence of a lunar cycle (full and new moon) effect on their stock market returns. Using a threshold generalised autoregressive conditional heteroscedasticity (TGARCH) model, we further examine the...

Previous studies on spillover effects in future markets have so far confined themselves to static analyses. In this study, we use a newly introduced spillover index to examine dynamic spillovers between spot and futures market volatility, volume of futures trading and open interest in the UK and...

This paper investigates the effect of automated teller machines (ATMs), information technology (IT) investments and other determinants on the efficiency and profitability of Greek commercial banks. Following the two-step procedure: 1) efficiency is derived via the non-parametric data envelopment...

In this paper we test for the presence of fractional integration, or long memory, in the daily returns of exchange rates using ARFIMA(p,d,q) models. We consider 34 exchange rates against the US dollar (USD) covering the period April 1991 to April 2006. The results suggest that 17 exchange rates...

This paper investigates the inter-temporal relationship between banking profitability, competition and risk of a sample of Chinese commercial banks by employing several profitability and risk indicators and using Seemingly Unrelated Regression (SUR) under a panel data framework over 2003-2009....

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 and FTSE/ASE...