The stock beta coefficient literature extensively discusses the proper methods for the estimation of beta as well as its use in asset valuation. However, there are fewer references with respect to the appropriate time horizon that investors should utilize when evaluating the risk-return...

Purpose: The purpose of this study is to assess the management responses and intentions of 3,279 US firms from all industries, before and after the coronavirus outbreak, to identify the level of managerial concern about specific financial issues and potential economic costs of the COVID-19...

Purpose: This study examines the forecasting performance of the professional analysts participating in the Blue Chip Economic Indicators Survey using an alternative methodological research design. Design/methodology/approach: This work employs two methodologies, namely a panel specification,...

Purpose: This paper aims to examine dynamic equicorrelations (DECO) and directional volatility spillover effects among four energy futures markets, namely, West Texas Intermediate crude oil, heating oil, natural gas and reformulated blendstock for oxygenate blending gasoline, by using a...

Purpose: The purpose of this paper is to examine the spillover effects in international financial markets related to investors’ risk aversion as proxied by the variance premium, and how these relationships were affected by the quantitative easing (QE) announcements by the Federal Reserve....

We investigate the effects of a google trend synthetic index concerning corona virus, as a composite indicator of searching term and theme, on the implied volatility of thirteen major stock markets, covering Europe, Asia, USA and Australia regions by using panel data analysis along with several...

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...

This paper examines the relationship between daily price variability and trading activity dynamics six months before and after the redesign of FTSE/ATHEX Large Cap futures contract in June 2016. Although contract and tick size is a critical factor for the viability of a futures market, there has...