This study examines the spillover effects in international financial markets with respect to implied volatility indices. The use of the latter as the basis of integration analysis means that we test market participants’ expectations and not the actual price fluctuations. The empirical...

In this paper, we propose a new measure of Greek equity market volatility based on the prices of FTSE/ATHEX-20 index options. Greek Implied Volatility Index is calculated using the model-free methodology that involves option prices summations and is independent from the Black and Scholes pricing...

The aim of the paper is the analysis of the sequential characteristics of the Athens Stock Exchange general index (ASE) using the time series metho-dology based on artificial intelligent techniques. The applied models include the Feed Forward Neural Network trained with the efficient Levenberg -...

This paper studies calendar effects in the emerging Athens Stock Exchange. Rather than examining only basket indices, we analyse calendar effects for each of the constituent stocks of the Athens Stock Exchange General Index for the period from October 1986 to April 1997. In accordance with...

We studied empirically American no-load equity mutual funds that invest in European stocks and keep their managers for more than three years, in order to investigate the persistence of the short-term performance, and the related investment style. The results showed an underperformance compared...

This paper uses spectral analysis to examine interrelationships between the daily returns generated by one US (S&P 500) and three major European (FTSE 100, DAX 30, CAC 40) share price indices. Evidence is found of strong interdependence between the European returns series, as well as a lead-lag...

A method is presented that takes into account the day-of-the-week and the turn-of-the-month effect and the holiday effect and embodies them to neural network forecasting. It adjusts the time series in order to make its dynamics less distorted. After a predicted value is calculated by the...

The question of whether there is a tendency for regional convergence has become a central topic for economic research. This paper considers the issue of convergence across Greek regions, following the theoretical basis of the neoclassical model of economic growth. Our analysis finds no evidence...

<title/> SIRIOPOULOS C. and ASTERIOU D. (1998) Testing for convergence across the Greek regions, <italic>Reg. Studies</italic> 32, 537-546. During the last five years, few issues have proved more controversial in empirical economics than the so-called convergence hypothesis. This paper examines the issue of convergence...