Antonios Antoniou

The Determinants of Capital Structure: Capital Market Oriented Versus Bank Oriented Institutions

The paper investigates how firms operating in capital market-oriented economies (the U.K. and the U.S.) and bank-oriented economies (France, Germany, and Japan) determine their capital structure. Using panel data and a two-step system-GMM procedure, the paper finds that the leverage ratio is positively affected by the tangibility of assets and the size of the firm, but declines with an increase in firm profitability, growth opportunities, and share price performance in both types of economies. The leverage ratio is also affected by the market conditions in which the firm operates. The degree and effectiveness of these determinants are dependent on the countrys legal and financial traditions. The results also confirm that firms have target leverage ratioswith French firms being the fastest in adjusting their capital structure toward their target level and Japanese firms the slowest. Overall, the capital structure of a firm is heavily influenced by the economic environment and its institutions, corporate governance practices, tax systems, the borrower-lender relation, exposure to capital markets, and the level of investor protection in the country in which the firm operates.

Futures trading, information and spot price volatility: evidence for the FTSE-100 stock index futures contract using GARCH

Abstract This paper examines the impact of trading in the FTSE-100 Stock Index Futures on the volatility of the underlying spot market. To examine the relationship between information and volatility (as subject neglected in previous studies) the GARCH family of techniques is used. The results suggest that futures trading has led to increased volatility, but that the nature of volatility has not changed post-futures. The finding of price changes being integrated pre-futures, but being stationary post-futures, implies that the introduction of futures has improved the speed and quality of information flowing to the spot market.

The effects of stock index futures trading on stock index volatility: An analysis of the asymmetric response of volatility to news

The asymmetric response of volatility to news has been attributed to leverage effects, but the authors show that noise trading is an important contributor to asymmetric effects. Contrary to the traditional view, introducing futures trading has no detrimental impact on the underlying markets. Futures trading improves market dynamics in processing news by transferring noise trading from spot to futures markets.

Market Efficiency, Thin Trading and Non-linear Behaviour: Evidence from an Emerging Market

Emerging markets efficiency has been widely investigated, with mixed results. However such evidence is only reliable if the methodology adopted accounts for the institutional features of the market. Unlike previous studies this paper corrects for thin trading and incorporates possible non‐linear behaviour and regulatory changes. Using Istanbul Stock Exchange data we show that in its early years the exchange was characterised by non‐linear behaviour and inefficient pricing. However, regulatory changes encouraged participation, improved information quality and led to prices impounding information more rapidly, suggesting markets become efficient with high trading volume, reliable information and an appropriate institutional framework.

Macroeconomic variables as common pervasive risk factors and the empirical content of the arbitrage pricing theory

Abstract In this paper we investigate the performance of the APT for securities traded on the London Stock Exchange. We analyze performance in terms of the presence of common pervasive factors across two different samples allowing for the fact that returns exhibit an approximate factor structure. Unlike most previous studies, we find that for two subsamples of assets it is possible to arrive at a unique return generating process in the sense that three factors relating to the money supply, inflation and excess returns on the stock market are priced and carry the same prices of risk in both samples.

Strategic planning, transfer and implementation of Advanced Manufacturing Technologies (AMT). Development of an integrated process plan

Abstract This paper concentrates on the planning requirements for the adoption of Advanced Manufacturing Technologies (AMT) in order to safeguard their successful implementation. Using the Cypriot manufacturing industry as a case study information is extracted regarding the implementation of Advanced Manufacturing Technologies. The research results are analyzed and are used in the development of a planning model for the acquisition of AMT. This model provides the framework for the correct justification and implementation of AMT to ensure Technical, Manufacturing and Business Success. It incorporates all the planning procedures and implementation parameters to be followed in order to ensure successful AMT adoption and implementation. It establishes the main reasons behind the successes or failures of the technologies and provides the methodology that can be adopted by the manufacturers to assist them in the justification and implementation of Advanced Manufacturing Technologies in their manufacturing environment.

Contrarian Profits and the Overreaction Hypothesis: the Case of the Athens Stock Exchange

This paper investigates the existence of contrarian profits and their sources for the Athens Stock Exchange (ASE). The empirical analysis decomposes contrarian profits to sources due to common factor reactions, overreaction to firm-specific information, and profits not related to the previous two terms, as suggested by Jegadeesh and Titman (1995). Furthermore, in view of recent evidence that common stock returns are related to firm characteristics such as size and book-to-market equity, the paper decomposes contrarian profits to sources due to factors derived from the Fama and French (1993, 1996) three-factor model. For the empirical testing, size-sorted sub-samples that are rebalanced annually are employed, and in addition, adjustments for thin and infrequent trading are made to the data. The results indicate that serial correlation is present in equity returns and that it leads to significant short-run contrarian profits that persist even after we adjust for market frictions. Consistent with findings for the US market, contrarian profits decline as one moves from small stocks to large stocks, but only when market frictions are considered. Furthermore, the contribution to contrarian profits due to the overreaction to the firm-specific component appears larger than the underreaction to the common factors.

Modelling International Price Relationships and Interdependencies Between the Stock Index and Stock Index Futures Markets of Three EU Countries: A Multivariate Analysis

This paper addresses the important relationship between stock index and stock index futures markets in an international context. By simply examining the spot-futures relationship within a single country as most of the extant literature does and thus ignoring possible market interdependencies between countries, the dynamics of price adjustments may be misspecified and thus findings misleading. The main contribution of the paper is to improve our understanding of the pricing relationship between spot and futures markets in the light of international market interdependencies. Using a multivariate VAR-EGARCH methodology, the paper investigates stock index and stock index futures market interdependence, that is lead-lag relationships and volatility interactions between the stock and futures markets of three main European countries, namely France, Germany and the UK. In addition, the paper explicitly accounts for potential asymmetries that may exist in the volatility transmission mechanism between these markets. The main conclusions of the paper imply that investors need to account for market interactions across countries to fully and correctly exploit the potential for hedging and diversification.

Technical analysis, trading volume and market efficiency: evidence from an emerging market

Although there is a widespread belief that stock markets are weak-form efficient, technical analysis is a pervasive activity. The extent is examined to which this apparent paradox can be explained by conditioning the past sequence of prices on the past sequence of volume. A unique data set from an emerging market reveals that, for a number of companies in the sample, returns appear to conform to the weak-form version of the efficient markets hypothesis. However, when returns are conditioned on past levels of volume, current returns on over half of these companies exhibit predictability. This is particularly true from companies with low trading volumes.

Advanced manufacturing technology transfer and implementation in developing countries The case of the Cypriot manufacturing industry

Abstract This paper investigates the transfer and implementation process of advanced manufacturing technologies (AMTs) in developing countries using the Cypriot manufacturing industry as a case study. Specifically the paper addresses: (1) the management processes followed during the transfer of technology into the manufacturing environment, and (2) the steps followed both before and after implementation and productive operation of the technologies. The results indicate that despite the distance between the manufacturer and the technology suppliers, no difficulties were experienced in acquiring information about the available technologies and the suitability of these technologies for the specific manufacturing environment. Preparations and human resource development prior to the introduction of the technologies were found, in general, not to be carried out at the level expected from the international literature to ensure successful implementation, but these problems were more effectively addressed after the introduction of AMT. In general, these deficiencies did not prove detrimental to the successful operation of the new technologies.