This paper examines whether the overall market risk, along with risks reflecting uncertainty related to the long run dynamics of market cash flows (dividends) and discount rates (returns), price average returns on single-sorted portfolios in the Greek stock market. Our results suggest that a...

This article examines the volatility processes of the 30 constituent stocks of the Dow Jones Industrial Average (DJIA) from 1998 to 2007. Estimating the standard Glosten, Jagannathan and Runkle (GJR) model across the DJIA's components confirms previous empirical findings of individual stocks'...

This study examines the hedging effectiveness of the emerging Greek options market before and after the financial crisis of 2008. We test the hypothesis of market efficiency by analyzing violations of FTSE/ASE-20 index option returns with respect to standard option theory, estimating option...

This paper attempts a resolution of the Fisher effect puzzle in terms of estimator choice. Using both short-term and long-term interest rates for 14 OECD countries, we find ample evidence supporting the existence of a long-run Fisher effect in which interest rates move oneto- one with inflation....

Over the past quarter century, the great wave of financial liberalization, together with advances in information processing technology and finance theory, created severe competitive pressures on both the asset and liability sides of bank balance sheets and, on the positive side, allowed banks to...

The purpose of this paper is to investigate the ability of parameter instability tests in regressions with 1(1) processes to discriminate between changes in the cointegrating relationship and changes in the marginal distribution of the regressors. Using annual data for the G-7 countries and the...

We test for contagion between pairs of East Asian equity markets over the period 1990-2007.We develop an econometric methodology that allows us to test for both 'shift'and 'pure' contagion within a unified framework. Using both Hong Kong and Thailand as potential shock sources, we find strong...