The main objective of the paper is to test whether post-earnings announcement drift (PEAD) is a consequence of the presence of self-attribution bias in investors' expectations, regarding permanent earnings. This is the first study to examine empirically this issue, in the sample of Athens Stock...

The paper investigates the time-varying correlation between the EU12-wide business cycle and the initial EU12 member-countries based on scalar-BEKK and multivariate Riskmetrics model frameworks for the period 1980-2009. The paper provides evidence that changes in the business cycle...

type="main" xml:id="sjpe12049-abs-0001" <title type="main">Abstract</title> <p>This article investigates the time-varying correlation between the EU12-wide business cycle and the initial EU12 member-countries based on Scalar-BEKK and multivariate Riskmetrics model frameworks for the period 1980–2012. The paper provides...</p>

The paper investigates the time-varying correlation between stock market prices and oil prices for oil-importing and oil-exporting countries. A DCC-GARCH-GJR approach is employed to test the above hypothesis based on data from six countries; Oil-exporting: Canada, Mexico, Brazil and...

The time-varying correlation between oil prices returns and European industrial sector indices returns, considering the origin of the oil price shock, is investigated. A time-varying multivariate heteroskedastic framework is employed to test the above hypothesis based on data from 10 European...

The paper investigates the effects of oil price shocks on stock market volatility in Europe by focusing on three measures of volatility, i.e. the conditional, the realised and the implied volatility. The findings suggest that supply-side shocks and oil specific demand shocks do not affect...

The paper investigates whether oil price shocks and oil price volatility provide predictive information for the state of the US stock market returns and volatility. The disaggregation of oil price shocks according to their origin allows us to assess whether they contain incremental forecasting...

This paper addresses the all-important issue of forming a common transport policy for South East European countries with primary objective this of the re-balancing the future traffic flows towards more use of rail and maritime transport (including inland waterways). First, the elements of the...